Statistical Analysis Of The Efficiency Of The China Growth Enterprise Market

2009 China's GEM market officially opened to promote the development of China's science and technology SMEs,and promote the social and economic progress.GEM market efficiency level,whether the rational allocation of resources,whether the GEM market enterprises to achieve maximum efficiency to provide a platform,can promote the rapid development of China's science and technology SMEs.Therefore,the study of the efficiency of the market is of great significance.At present,the relevant research at home and abroad mainly focuses on the theory of "effective market hypothesis",and uses the stock return data to carry on the correlation test,thus obtains the weak or effective effect of the stock market,lacks the comprehensive and systematic research on the stock market Level efficiency indicators of research,and targeted is not strong.Based on the characteristics of China's GEM market,this paper summarizes the efficiency of the GEM market into three aspects: pricing efficiency,functional efficiency and operational efficiency,based on the existing literature and effective market theory.Using the time series correlation test,the three-stage DEA model test,the event research method and the descriptive statistical analysis method,the method of combining the time series correlation test,the three-stage DEA model test,the event research method and the descriptive statistical analysis method,China's GEM market efficiency of quantitative measurement,qualitative analysis,we come to the GEM market is a weak effective market,at the same time,China's GEM market efficiency of the other relevant conclusions are as follows:1.China's GEM market day rate of return on the time series in the autocorrelation coefficient is related to the correlation,compared with the Western mature market daily rate of return coefficient is relatively large,its stock volatility is also significantly stronger.2.Overall,China's GEM market efficiency is not high,the GEM market as a technology-based small and medium enterprises set up a financing platform,the market listed companies financing efficiency is generally low,and the geographical difference is very large.Because of the high management,technical level and good external environment,the southeast coastal area can give full play to the financing function of the GEM,with relatively high functional efficiency,while the western and northeastern parts of the region is relatively low efficiency.3.Although the establishment of China's GEM market is not long,but since 2009,the operating efficiency has gradually improved steadily,liquidity,transparency,making the transaction hidden costs lower.4.Based on the three efficiency of the study,China's GEM market has reached a weak and effective,has not yet reached the semi-strong effective,investors from the stock's historical prices,information to determine the future trend of GEM shares.