Efficiency Analysis on Shanghai Stock Market

Research on the efficiency of the capital market can be traced to the work that Louis Bachelier, a French scholar, did in 1900. However, it has not been emphasized. Half a century later, Eugene F. Fama, a well-known American scholar, conducted the research again and published a paper entitled "The Behavior of Stock Market Price". Since then, the study on the efficiency of the capital market has been concerned widely and become an eternal theme. Efficient market hypothesis laid the foundation for the development of modern financial theory, such as the pricing of financial assets and the management of financial risk. In 1990, the establishment of Shanghai stock market and Shenzhen stock market symbolized that our capital market had entered a new development phase, the empirical analysis about its' efficiency also attracted attention from plenty of scholars. On the basis of relevant research in the world, with all the historic data since the birth of Shanghai stock market, this paper selectively uses the statistical analysis method to study Shanghai composite index, do research on the effect of Shanghai stock market, and, from the aspects of basic analysis and dynamic analysis, proves that the Shanghai stock market is a progressive weak-form efficient market.