The Relative Efficiency Study Of Stock Markets

With the development of economic globalization, the internationalcapital market continues to open up, more and more companies are cross-listed indifferent countries and regions. So with absolute efficiency perspective to study theefficiency of a securities market, can not meet the demand for real development.Using cross-listed companies as the samples of analysis in relatively perspective, tomeasure and evaluate the relative efficiency of the securities market will be moretheoretical and practical significance. In this paper, there are three mainly researchissues：（1）Using stock indexes to construct a state space model and AR(1)time-varying coefficients are calculated, and treat the AR (1) coefficient as a proxyof the degree of market inefficiency. And have analyzed of the time-varyingcharacteristics of the market efficiency.（2）Analysis the fluctuations synchronization of the cross-listed company’sshare price with industry index and market index in the perspectives of the company,industry, market, to Study the efficiency of cross-listed stocks in different securitiesmarkets.（3）Research Cross-listed company’s share price information whether can betransmitted between two securities market efficiently with the microscopicperspective of the companies. And study of this delivery mechanism of priceinformation.