Author(s)

Fang Jia, Xianying Guo, Hua Shao

Corresponding Author

Hua Shao

ABSTRACT

The theme of this paper is an analysis on the weak-form efficiency of the stock market in China. The proposal of the efficient market hypothesis (EMH) as a milestone event has been meaning extremely important to financial markets. Efficient market is not only the symbol of how the financial markets have developed but also their terminal objectives. Since Shanghai and Shenzhen stock exchanges were built at the beginning of the 1990s, Chinese stock market has developed very quickly especially after the split equity structure reform. In order to evaluate the development degree of Chinese stock markets scientifically it is necessary to re-analyze the systematical research on market efficiency of the latest Chinese stock market.

KEYWORDS

Efficient market hypothesis (EMH), the weak-form efficiency, unit root, serial correlation