| The Efficient Market Hypothesis is one of the two cornerstones of moderneconomics, is the classical theory to study the effectiveness of the stock market.Chinese stock market has gone through23years, from small to large, now, Chinesestock market has become an important place to convert mechanism and raise funds forChinese enterprises. Chinese securities market has become increasingly important inthe national economy. The research for Chinese securities market effectiveness degreeis good for understanding the stock market operation rules, which will better guideinvestors for rational investment and provide the basis for regulatory authorities todevelop regulatory systems.The main contents of this paper include the following three aspects:1. summaryof EMH: as a starting point, based on the scholars research reference on the theory ofEMH, this paper conducted a comprehensive analysis of the main contents, thetheoretical model, the detection methods of EMH;2.longitudinal comparative study ofthe effectiveness of Chinese securities market: based on the shareholding reform,applying self-correlation test and run test sequences, to test the effectiveness of thesecurities market before and after of Chinese shareholding reform;3.transversecomparative study of the effectiveness of Chinese securities market: applyingself-correlation test and run test sequences, research and analysis the effectivenesson our motherboard, the GEM and the SME board market.This paper draws the following conclusion:1.Shanghai and Shenzhen A-sharemarket has reached a weak efficient market status after shareholding reform, and theeffectiveness of Shanghai and Shenzhen A-share market are better thanbefore;2.whether it is before or after shareholding reform,the effectiveness ofShanghai A-share market is higher than the effectiveness of the Shenzhen A-sharemarket, the effectiveness of the Shenzhen A-share market is low even aftershareholding reform;3.motherboard market place as a major issue and trading ofsecurities markets, has reached a weak-state, while the GEM and the SME board as afinancing platform for SME, did not reach the weak-state, and the SME board invaliddegree worse than the GEM.Overall, the stock market is gradual evolution from Weak form effective marketto Semi-strong form, strong form effective market. This evolution process needs toregulate the securities market information disclosure system, requires rationalinvestors broad participation, need the level of securities regulators increase. only in this way can we build an open, fair and efficient securities market environment,improve the effectiveness of Chinese securities market operation mechanism, promotethe healthy development of Chinese securities market. |
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