Analysis of efficiency in Chinese stock market based on robust serial correlation test

摘要

This article analyzes efficiency in Chinese stock market based on the robust regression model considering serial correlation for the sample of daily return. We find that the Shanghai market has reached weak form efficiency, while Shenzhen market has not yet. We also analyze the impact of Price Limit Mechanism on market efficiency. The result indicates that the Price Limit Mechanism has reduced market efficiency for Shanghai market, but has no effect on Shenzhen market.