Empirical Research On The Efficiency Of China′s Growth Enterprise Market

The efficient market hypothesis is one of the important pillars of modern financial economics theory, this hypothesis is the Nobel Prize winner of economics in 2013, American economists Fama at proposed on the basis of summarizing predecessors’ study, the hypothesis is put forward, and if the market for the efficient market, so the real value of the particular securities should is characterized by its current market price. Fama according to covered market information of the price, the market validity is divided into three categories according to its strength level is weak form efficient, half strong type of effective and strong type of effective. The effectiveness of the securities market for all investors and regulators has the very vital significance, only in an efficient market resources get reasonable configuration, better capital utilization efficiency will be higher, this is also one of the goals of the regulators are trying to achieve. However, due to the efficient market hypothesis depends on the harsh conditions, therefore, such as excessive fluctuations, the equity premium puzzle and herd behaviour and so on the emergence of financial vision problems posed a challenge to the efficient market hypothesis, it also makes the efficient market hypothesis in the skeptics continues to challenge has been to continue to develop.The growth enterprise market is different from other than the main board of a major stock exchange, is specially for innovative, high growth and high technological enterprises and set up such characteristics, because such companies usually is at the early stage of development, and the relatively small size, the future market space is unclear, unable to raise money from Banks and other institutions, therefore, the establishment of the growth enterprise market is to provide a platform of the funds required to raise the development, cultivate this kind of enterprise, to promote the sustainable development of national economy, in order to promote the transformation and upgrading of economic structure. October 30, 2009, the GEM market in China for the first time officially listed trading, after more than five years of development, the growth enterprise market in the number of listed companies, the total market value, etc are attained remarkable achievements, to a large number of excellent enterprise provides the funds required for the development, listed on the GEM companies also increased from 28 to 413 now, total market capitalization of above 2.6 trillion yuan, the GEM index is repeatedly break through the record, the 2000 mark. Although the growth enterprise market of our country has made the good progress, also more and more standard, but there are still many problems, for example, has long been criticized for "three highs" namely high p/e ratio, high price and raise funds, distortion of information disclosure, institutional investors is less, the imperfection of the delisting system, etc., these problems has a certain impact on the effectiveness of the market. At present because our country the growth enterprise market set up soon, the available data is not too much, the academic research on the effectiveness of the domestic market is mainly focused on the main board market, do research on the effectiveness of the growth enterprise market, much less and the existing research results and did not form a unified point of view, and therefore, condition to study the effectiveness of the growth enterprise market in China has very important significance.This paper selects stock exponent Rt about daily closing price of GEM index(2010.6.1-2014.6.30)and GEM aggregative index(2010.8.20-2014.6.30) from the netease financial database as subject investigated, stock index yield is defined as the Rt = lnPt- lnPt – 1, and Pt is t share index, Pt-1 is lag issue of stock index. First studied the yield characteristics of the growth enterprise market, based on sample data stationarity inspection found that the sample data, there is no unit root process and sample data for stationarity sequence. On this basis, use Eviews statistical analysis found that the yield of the GEM market in China present a non-normal characteristics; then by building stock index returns ARMA(1, 1) regression model, the ARCH- LM effect on the residual sequence inspection, inspection results found sample data is the ARCH effect, namely the two index stock returns Rt exist different variance. Therefore, yield sequence of the GEM market in China has nonnormality and heteroscedasticity of the dual characteristics.So some traditional for verification of the method of weak type of effective market is not suitable for the growth enterprise market, through to the current mainstream survey method, comparative analysis, this paper argues that Kim J.H proposed wild-bootstrap method has obvious advantage in to test the effectiveness of the market, it applies to both the nonnormality, heteroscedasticity and small sample situation, this was precisely the Growth Enterprise Market in Shenzhen stock index returns the sequence of main features. In the empirical use of Matlab8.1 statistical analysis software, first in the overall sample made wild-bootstrap variance ratio test, select repetitions for m = 1000; and selected the sample size of 260, 520 and 780 three sliding subsample window, select m = 1000 repetitions, to wild-bootstrap variance ratio test samples again. Test results show that the GEM index and GEM composite index significantly following martingale process, therefore, can maintain the GEM market in China has reached weak form efficient. In addition, according to the present problems existing in the growth enterprise market of the, targeted puts forward several policy Suggestions to facilitate further improve market efficiency.