Abstract:

The efficiency of a security market is referred to the pricing efficiency that reflects the asset value in the security market. Through a test analysis of the efficiency of Shanghai stock market, the conclusion is drawn that the Shanghai stock market was non-efficient before 1996, but since 1997 it has been in a period of transition towards weak-form efficiency, far from strong form as yet.

Key words: efficiency of a security market, wander test, interrelated test, normal distribution test