| The GEM in China is determined to financing the new and small high-tech companies with high potential and plays an important role in the upgrading of industrial structure and economic transition. NASDAQ is the most powerful growth enterprises market in the world. EMH is one of the cornerstones for the modern theoretical system of securities and modern economics. Whether the stock market is efficient is important for the investors, supervisors and all the other participators. Comparing the performance of efficiency of market of NASDAQ and GEM in China, observing the revolution of efficiency of both markets and searching for the factors influencing the efficiency of market will help improve the GEM of China which contributes to the upgrading of China's industrial structure and the sustainable economic growth.Using generalized spectral method and rolling estimation window testing the index of GEM in China from June 1st 2010 to March 25 th 2015 and index of NASDAQ from February 1st 1971 to December 31 st 2010, it is found that GEM in China is not efficient and NASDAQ was not efficient until 1987. NASDAQ showed efficiency in 1987 and 1988 and then became inefficient again until 1998. Since then NASDAQ always showed efficiency except 2007 and 2008.Comparing the efficiency of GEM in China and NASDAQ, some reasons are found that will affect the efficiency of market which is the rationality of the investors, the structure of investors, the transaction cost and the short selling mechanism. Investors on the CEM in China are excessively speculative and the transaction cost is high. Also, margin is limited on the GEM in China. The political suggestions are optimizing the structure of investors, improving the margin trading and perfecting the supervision system. |
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