Empirical Study On The Effectiveness Of China's Stock Market

The research on the effectiveness of stock market has always been the focus of the financial market field.No company can be separated from the market,so whether the stock market is effective or not has a great impact on the company,especially in terms of the value of the company and the cost of capital.Meanwhile,for a country,sustainable economic development and optimal allocation of market resources are also closely related to the effectiveness of the stock market.China's stock market began to develop in the 1990 s,and after more than 20 years of continuous standardization and improvement,it has not only initially formed the market framework and regulatory system,but in practice the two are quite normative.At the same time,China's stock market has strengthened innovation and diversified horizontal and vertical development,providing a solid foundation for the efficient flow of social funds and expanding various financial investment channels.For this reason,the study on the effectiveness of China's stock market is extremely urgent.Firstly,this paper introduces the background and significance of the research.In the following part,the relevant literature of the stock market is reviewed from the three aspects of efficient market hypothesis,fractal market and long-term memory,so that we can have a comprehensive and profound understanding of the effectiveness of the stock market.Then,the development status of the main board,the small and medium-sized board,the gem board and the new third board,as well as the existing problems in the development process,are understood.Then,the hypothesis of this paper is proposed based on relevant theories.Then the empirical test method of market effectiveness is sorted out,and the selected test method of effective market and its advantages are introduced.Next is the empirical part,which mainly conducts a horizontal comparative analysis of the market effectiveness of China.It studies the main board,sme board,growth enterprise board and the new third board markets respectively,and conducts a comparative analysis of the Shanghai and shenzhen markets.Hurst index method and GARCH model method are used to test the effectiveness of different markets respectively.Finally,in order to further enhance theeffectiveness of China's stock market,this paper combined empirical analysis and China's actual national conditions put forward the corresponding countermeasures.In this paper,it is finally concluded that China's stock market has not reached the conclusion of weak-type efficient market.Meanwhile,through the horizontal comparison between different sectors,it is found that the order of invalid degree is:new third board > growth enterprise board > small and medium-sized board > main board.At the same time,it is also concluded that Shenzhen stock market is more invalid than Shanghai stock market.