Abstract:

There are many challenges to the financial theory of "efficient market hypothesis" (EMH). Many traditional assets pricing models do not have practical values. In an inefficient market participants' behavior and strategy may have much impact on stock prices, which complicates the determination of ultimate prices. Based on the above theory, this paper tries to analyze the determination of A-share prices in Shanghai stock market by means of a cross-sectional multi-factor model. The data of the model include the stock prices in June, 2000, June, 2001 and June, 2002. This paper finds out that not only the financial instance of listed companies but also participants' behavior influence stock prices in Shanghai stock market.

Key words: efficient market hypothesis, inefficient market, participant' s behavior, influential factors of stock prices