An Empirical Analysis Of The Chinese Stock Market Efficiency

Based on the Shanghai stock exchange as the research object, through collecting the Shanghai composite index on May 21, 1992 to December 31, 2013 closing price data, using serial correlation and runs test analysis method makes an empirical analysis on the efficiency of Chinese stock market.The empirical analysis results show that the overall, Chinese stock market has reached the weak type of effective market, investors are difficult to through the study of the technical analysis of historical data and obtain excess profits. On May 21, 1992 to December 31, 2013 in the whole sample test, the Shanghai composite index yield fluctuation basic presents the randomness, the stock index in a few days in the future stock market have a certain impact, but with the longer lag period, this influence will no longer exist, shows that the stock market is weak form efficient. On December 16, 1996 to April 30, 2007 of the phases in the sample test, the Shanghai composite index yield randomness has a growing trend of fluctuations, the most weak type of effective market standard. But in December 16, 1996 to December 31, 2013 points in the sample inspection, due to the impact of external economic and financial crisis, the Shanghai composite index yield randomness weakened by the fluctuation of the Chinese stock market in the face of external shocks, its weak effectiveness is affected. At the same time the author believes that through the perfection of the mechanism of market system, standardize the information disclosure of listed companies, reasonably adjust the market transaction cost, strengthen market supervision function, innovation macro-control means, broadening opening capital market can further improve the efficiency of Chinese stock.