| Since proposed by Fama in1970, Efficient Market Hypothesis(EMH) has always got the attention from scholars all over the world. Based on several strict assumptions, Fama defines EMH as follows:"if price of stocks fully reflects available information in the market fast and effective, we can assume the market is efficiency. In essence, EMH is all mainly about how to price a stock. However, there are different types of investors,who would need time and cost to get and then analyze the information. At last buy/sell order will be made,which change the price of stock. The process are not immediate because of several reasons which will be discussed in this articleThere are several conditions for EMH:first, participants have no influence on price of goods; second investors are all rational who can value stocks effectively and there are no costs for investors to get information. And it has no friction in the market.however the reality is not that perfect.asymmetric information, transaction cost make the market valid. What’s more Behavioral Finance also question the theory of Economic man different types of investors exist in the market,who have different knowledge and investment philosophy, which seriously affects the speed of convergence of stock price in the market.Scholars all over the whole are fancy about whether EMH exits. For the weak form of efficient market, the general tools are as follows:exam whether stock price Time series obeys random walk, there is correlation between prices and yields of stock or weather there is more benefit for investors who are good at technical analysis. For semi-strong efficient market, scholars usually use "event study", and for strong efficient market, it is common to compare the benefit of internal staff or large institutional clients with ordinary investors since it is hard to determine what the inside information isThe stock market of china has witnessed30years of development,which attracted amounts of investors and listed companies. It has become the barometer of whole economy, but there are still some problems exiting under the prosperous surface in the stock market. For example,policy phenomenon exits, investor are lack of rational investment knowledge and related legal mechanism is not integrity. This paper emphasis on analyzing the current situation of Chinese stock market such as the history and micro trading mechanism, ectMost scholars use daily date in the study of EMH. However, CRS(2005) found that weak form of efficient market has been achieved in NYSE, so they use intraday transaction data such as5,10,15,30,60minutes to examine the speed of convergence in NYSE, which can be defined as the time that the market requires the to your weak form market efficiency. This article follow the method used by CRS(2005) to exam the speed of convergence in china stock market using the intraday transaction data, the results of our study mainly are the weak form of efficient market has been achieved in the daily horizon,while not in5,10,15,30,60minutes both in shanghai and Shenzhen A share market.At last, this paper also analyzed the weakness of Chinese stock market, and why it has not realized effectiveness, it is needed to make more efforts in the following aspects:firstly, China’s securities market need to change the status quo of "policy market", secondly investors is not mature enough to make wise decision, what’s more, it is to needed to modify our country stock market information transmission mechanism, finally market supervision also needs to be strengthened... |
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