An Empirical Analysis Of Efficiency Of Stock Market In China

As a the core part of financial market economic system, capital market play a more and more important role in factors of influencing China's social and economic of life. Only the high efficiency of the capital markets can allocate the finite resources to the best benefit enterprise and industry, then create maximum output, realize the maximization of social welfare, so the research of capital market efficiency has a great significance. We take the stock market as the research object; study detailed the efficiency of stock market.The efficiency problem of China stock market has been the focus studied by the domestic scholars. Many scholars indicates that China stock market is weak efficient by empirical studying, but some scholars also have put forward the object conclusion, who indicates foreign research model is not suitable for China stock market, so that the credibility of the conclusion that China stock market is weak efficient is very low. Although China stock market and matured overseas market have many differences, we still think that has certain significance referring foreign research model to analyze the Chinese stock market. However, in order to improve the efficiency of China stock market, we still need to change and improve China stock market from own system defect, combined with China's specific market environment.First of all, we explain the different definitions of efficiency of the stock market that had been put forward by scholars both at home and abroad. In the paper, we define the efficiency of the stock market based on the classification method that has been put forward by West and Tinic. Referring to the classification method of West and Tinic to capital market efficiency, capital market efficiency is divided into external efficiency and internal efficiency, also called pricing efficiency and operating efficiency. The definition we identified is that the efficiency of the stock market is divided into external efficiency and internal efficiency, external efficiency is pricing efficiency. In the market, the asset information has high transparency, every investor gets the information of equal amount and equal quality in the immediate, based on this, the price of the securities can make timely and fast reflection according to the relevant information; Internal efficiency is operating efficiency, which performs for,in the shortest possible time, the stock market completes a deal with the minimum cost for investors, the cost includes securities issuance cost,listing of cost and transaction cost, etc.Then, we review some research results about the efficiency of China stock market, compare and evaluate the different statistical methods.In advance of grasping the forefront of the contemporary academic theory, we utilize various statistical methods to analyze the efficiency of China stock market. We inspect the pricing efficiency by selecting the yield sequence of the Shanghai composite index and using serial correlation test and runs test. The result shows that the efficiency of China stock market is gradually improved, has reached the weak efficiency. Through the analysis of the section data, we can see the efficiency of the first stage is stronger than the second stage, explaining the changes in the economy reduce the efficiency of China stock market, the influence of outside unfavorable factors to China stock market is still significant, the efficiency of stock market needs to improve. We choose six major adjustments of printing tax rate from May 10,1997 to April 24, 2008 for time dividing, select the Shanghai composite index, the Shanghai A share index, the Shenzhen composite index and the Shenzhen composition A share index four time series data, use event study and non-parametric methods to research operating efficiency, the results show in 1997 and 1998, the impact that has been caused by two adjustment of the printing tax rate to the share price is opposite of the theory. Printing tax rate increases, the share price index yields improve, printing tax rate drops,30 days average yields down. Thus, we believe that at this stage the efficiency of China stock market is lower. The effect of four adjustments from 2001 to 2008 is consistent with the theory, which explains the operating efficiency of China stock market is gradually improve, China stock market is gradually mature and effective. Comprehensive these two aspects, we argue that pricing efficiency and external efficiency of China stock market is improved, but still is low, so the efficiency of China stock market is relatively low. We need according to specific problems, take effective measures to further improve efficiency of China stock market, and utilize effectively rare resources, promote the macroeconomic continual, stable and healthy growth.Next, we analyze the long-term relationship between stock market and macroeconomic from the macroscopic perspective. We use the co-integration test and Granger causality test to analyze the relationship between the three indexes that reflect the stock market development and the GDP growth rate, the results prove the promoting function of the stock market to the macroeconomic growth is weak, that shows the stock market is still not perfect, the efficiency needs to improve.In general, the stock market already has weak efficiency, but a lot of aspects still need to improve. Finally, we will put forward different policy suggestions according to the specific problems.