An Empirical Study on the Efficiency of Shanghai and Shenzhen Stock Markets on the Basis of R/S Analysis Method

In the light of the different conclusions of current studies based on different research methods and the deficiency in the selection of samples,the authors choose the data from the foundation of Shanghai and Shenzhen stock markets to May 30,2008 as samples,use the nonparameter R/S analysis method and makes a further study on the efficiency of China’s stock market.The empirical findings show that both Shanghai and Shenzhen stock markets are a pink noise process and China’s stock market is not effective.