The Effectiveness Of China's Stock Market

During the 20 years of development, Chinese stock market becomes more and more mature, nevertheless, the stock market system in China is still not perfect compared with some overseas mature capital markets, as there is much to be desired for the system, listed companies are poor in quality and investors still lack rationality. In order to examine the fruit of the development of stock market in China, this article has conducted empirical study on the effectiveness of the stock market, and also made an investigation against the reflection of the information on several macroeconomic variables from the index of Shanghai Stock Exchange.In the first place, the article has conducted research of basic features of Chinese stock market. There are three stages of development for Chinese market in the article, each of which is studied by selecting the closing price of the index of Shanghai Stock Exchange as the sample data and adopting ADF unit root test method, then the following conclusion can be drawn: the first stage has not realized weak efficiency; the second stage begins to transit to weak efficient market; and the third stage has basically realized weak efficiency.In the second place, the article continues to carry out research against the effectiveness of Chinese stock market by means of event analysis. At first, this chapter has made a qualitative analysis of the types of macroeconomic policies and events that have influence upon the stock market by picking up 92 examples from 2008 to 2010 when macroeconomic policies and events were released. Then by use of event analysis, respective research has been conducted to good and bad macroeconomic policies as well as events from the aspect of their influence upon the index of Shanghai Stock Exchange before and afterwards. The conclusion is, Chinese stock market has not been up to semi-strong-form efficient market.In the last place, based upon the above conclusion that Chinese stock market has basically realized weak efficiency but has not been up to the semi-strong-form efficient market, effort has been made to examine the effectiveness of Chinese stock market with macro-economic information as the study object. The article has first qualitatively selected six macroeconomic indicators respectively showing the economic growth, monetary and fiscal condition, and industry development. Besides, the indexes of Shanghai Stock Exchange from January 2006 to December 2010 as well as the monthly data of six macroeconomic variables have been picked up as the sample data. Then stationarity of time series for the data has been examined by adopting AD method, followed by cointegration test and Granger causal relation test against each macroeconomic variable and Shanghai Stock Exchange index respectively. The conclusion drawn is, the Shanghai index has long term maintained a positive equilibrium relation with the index of the resident consumption price, state budget revenue and expenditure, industrial added value and total volume of social consumer goods, but a negative equilibrium relation with the total volume of import and export trade. However, neither Shanghai index nor any macroeconomic variable studied here has Granger causal relation,that means none of the macroeconomic variables can predict the Shanghai index tendency alone. Generally speaking, Chinese stock market cannot reflect macro-economic information in an effective way.