An Empirical Study Of The Effectiveness Of The Shanghai Stock Market

For people who want to do stock investment,I think the most important thing is to do some understanding and analysis on efficiency of the market first.This article is to use statistical methods to analyze the Shanghai stock market efficiency.In the first part of the dissertation,Eugene Fama provide the efficient market hypothesis first,and the efficient market hypothesis has three forms: potential weak efficient market hypothesis,the semi-strong efficient market hypothesis and the strong efficient market hypothesis.According to these,in the second part of this article,I check the efficiency on the Shanghai composite index under the potential weak efficient market hypothesis and in the third part(under the efficient market hypothesis the Shanghai stock market is semi-strong efficient inspection)the semi-strong efficient market hypothesis has carried on the empirical test.In the second part the trend of market is random inspection found when the market does randomness of trend,income sequence is not related,it shows that the market has reached the weak effective,but the use of technical analysis(using the historical information volume and price)ca n provide help for the forecast of future earnings,so the market wasn't up to the weak effective market.On such contradictory conclusions,the author thinks that the market is not under the premise of the efficient market hypothesis,the trend of market shows the tendency of randomness,but on the other hand,it is not established.Then in the third part,the author uses important financial information to predict future earnings(volatility of the net income),failed,it shows that the market has reached t he semi-strong efficient.But the author also found that a high correlation between stocks and index in the market,even a cointegration relationship between stocks.The low correlation is understandable,but high correlation necessary instructions did not respond to a stock company's real situation,so the market did not reach the semi-strong efficient.Here also appeared a contradictory situation,with the second part,the author thinks that the market reaches the semi-strong efficient financial information is invalid,and the future earnings forecasts can be predict.So the author thinks that the inefficient on the Shanghai stock market of our country is not achieved to look back on the premise of the efficient market hypothesis.So the author thinks that the efficient market hypothesis theory is just a hypothesis,not a reasonable description of the Shanghai stock market.