Empirical Study On Semi-Strong Efficiency In Shanghai Stock Market

Capital market plays an important role in modern economy, effective capital marketis to achieve economic and social resources configuration of the important prerequisiteconditions effective. In contemporary financial theory, semi-strong form market hassignificance in theory and practice. In a semi-strong form market, many importantmodern finance theories can be obtained, such as MM theory, the capital asset pricingmodel and so on. In the market practice, semi-strong form market system with measuresto limit the occurrence of insider trading, then market traders can take passive copy themarket portfolio trading strategies. Conversely, if the market didn’t realize semi-strongform market, so the market traders should take active trading strategies, through theanalysis of public information acquisition excess profits. The stock market’s semi-strongform of effective could in theory test effective market theory, for the development of thetheory of financial support or oppose the evidence. The stock market efficiency of statestill can set policy for policy makers to provide the reference. This article is in equitydivision reform has been completed, carrying out the basic market circulation, using thelatest market data, to the Shanghai stock market semi-strong form of effective inspection.Paper from the study of theory, combined with the practical situation of the Shanghaistock market, using the empirical research method, tests the Shanghai stock marketsemi-strong form efficiency for empirical research. On the market study in semi-strongform efficiency, commonly used method is event study. This article chooses the stockmarket in the prevalence of private placement by first reported information events andsurplus information released events for research. In choosing the sample company, try tokeep the event the independence of the window.This paper is divided into the following several parts: first is the introduction section.This chapter expatiates to the background and significance to make the instructions.Second is the theory and method. This chapter mainly introduces the theoretical basis anduse of the event study method. This chapter gives the definition, characteristics, empiricaltest of semi-strong form market. Next, in this research method-event study methodcontent, detail process, and gives a calculation formula of test statistics. Third is the empirical analysis section. The empirical analysis section studies the events of privateplacement information first reported and annual earnings report released. Fourth is aconclusion and enlightenment parts. The conclusion of this paper is given and this partalso gives policy makers some enlightenment by comparing with two events excessyield,.This article studies the events of private placement information first reported andannual earnings report released in Shanghai stock market, the conclusions are as follows:for the two events in events window can get accumulative total excess yield, andstatistical significant. This is different from semi-strong form efficiency market. Atpresent, Shanghai stock market hasn’t reached semi-strong form efficiency and policymakers should set the market policy to realize semi-strong form of effective policy.