Empirical Analysis on the Efficiency of Chinese Stock Market Based on the Efficient Market Theory

Articles

Empirical Analysis on the Efficiency of Chinese Stock Market Based on the Efficient Market Theory [MASS 2012]
Author(s)
Liang Baosheng
ABSTRACT
The Efficient Market Theory (EMT) is a classical theory studying the relationship between information and security price. It makes great sense in its division of market and worth much attention in China. Using the econometric method of autoregression and unit root test, the result suggests that the stock market of China stays in a relative inefficient status in the past decade, and the price of securities is predictable to a great extent. But, it is significantly valid that the market’s efficiency has improved in the past 4 years.
KEYWORDS
Efficient Market Theory; Autoregressive Model; ADF Test; Market Efficiency
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