An Empirical Study On The Effectiveness Of China 's Stock Market

Research on the effectiveness of the stock market has been the key of all studies of the stock market, an effective stock market will directly affect the stock market resource allocation efficiency, and also will have a significant impact on government policy proposed and implemented.This paper analyzes the effectiveness of Shanghai stock market and Shenzhen stock market, the Shanghai Composite Index and Shenzhen stock index from December 16,1990 to December 31,2014 from April 7,1991 to December 31,2014 data are selected, in the part of empirical analysis, the sample data has conducted unit root test, Jarque Bera test, serial autocorrelation test and runs test, the conclusion that Chinese Shanghai stock market and Shenzhen stock market have not reached the weak form efficient conclusion.In this paper, first on the effective market theory (EMH) theory is introduced, the introduction of domestic and foreign scholars on the effectiveness of different market definitions and test methods. Then, combined with the historical research on the effectiveness of the market the reality of China’s stock market and foreign scholars, established a "study of China’s stock market whether or not meets the research direction of the weak form efficient". When analyzing the data, the time series is divided into three stages, two nodes are in December 26,1996 the formal implementation of price limits and January 1,2007 fully completed the split share structure reform.Chinese stock market has not reached the weak form efficiency of the conclusion, and from the perspective of macro and micro analysis of the two reasons of lack of effectiveness of our market analysis. Finally from the expansion of market capacity, standardized laws and regulations, strengthen supervision and strengthen the regulatory system in several aspects put forward to enhance effectiveness are proposed in the stock market of our country.