• Empirical Analysis on the Efficiency of Chinese Stock Market Based on the Efficient Market Theory   [MASS 2012]
  • Author(s)
  • Liang Baosheng
  • 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.
  • Efficient Market Theory; Autoregressive Model; ADF Test; Market Efficiency
  • References
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    Zhao Xin and Li Fumin, The Explanation of the Rational Expectations Theory’s Rationality, Journal of Central University of Finance and Economics, Vol.9, 2002.
    Yi Xianrong and Huang Shaojun, The Forefront Behavioral Finance Theory, Jiangsu Social Science, vol.6, 2003.
    Zhao Yunli, Empirical Work on the Efficiency of China Stock Market, Jilin University, 2004.
    Xu Longbing and Lu Rong, The Research on the Theory of Efficient Market, The Study of Finance and Economics, Vol.27 No.8, Aug.2001.
    Ariel,Robert, A High Stock Returns Before Holidays, Existence and Evidence on Possible Causes, Journal of Finance, vol.45, 1990.
    Eugene F. Fama, Efficient Capital Markets, Journal of Finance, 1991.

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