A Weak-Form Efficiency Testing of China´s Stock Markets

The main purpose of this paper is to test the degree of development of China´s stock market, as well as its stage. Utilizing the GARCH amended model and the AR-X-GARCH (1, 1) model; we analyzed whether the opportunity for excess returns in China´s stock markets exists, and tested the randomness of the returns´ series in China´s stock market. Finally, we concluded that China´s two stock markets in Shenzhen and Shanghai have not reached the significant excess rate of return opportunities, but the stock markets as a whole have not reached the level of the weak-form efficiency. At the same time, we can see that China´s stock market is gradually maturing. This can provide a good guide to understand the degree of development of China´s stock market, as well as its stage.