A Close Look at Weak Efficiency of China Stock Market

This article employ non-parametric statistics which are used to test martingale difference series to test weak efficiency of China stock market.This method hasn't been used in other empirical papers and the empirical analysis demonstrate that this method is superior than most of methods which are used to test the same problem.By analysis and empirical evidence,we draw the conclusion: the level of weak efficiency of China stock market has been improved in recent years;A share is more efficient than B share;Shanghai stock market is more efficient than Shenzhen stock market.We also compare China stock market and developed stock market and show that Hong Kong stock market has a great effect on China stock market.