山东大学博士学位论文 "policy market",but examining the characteristics of functional mechanism of stock market exerted by macroscopic policy,making basic evaluation of macroscopic policy posted on stock market,and putting forward policy suggestion regarding to how macroscopic policy should be carried out in stock market.Third,this dissertation points out the difference between“policy effect”and“policy efficiency”.Policy effect”ling in stock market doesn't mean“policy efficiency".Only when stock market reacts to policy information promptly,exactly,and fully can it be considered as"efficiency". Chapter two is a research statement about the Efficient Market Hypothesis.First,it gives the introduction of the fundamental theory frame,then it makes a detailed statement about three efficient markets on the basis of research literatures both in China and abroad.The foreign literatures demonstrate that this theory has been proved correct in most cases by statistic tests though the Effective Market Hypothesis is challenged by practice,From the point of views of Chinese economists,most of research conclusion indicates that the stock market of China didn't reach the"weak form efficiency"before 1992. but the stock market basically reached or almost reached to the "weak form efficiency"after 1993.If one considers whether it has reached "half-strong efficiency",there are large divergence ideas among academic circle. Chapter three elaborates the statistic test about the nature of the"weak form market efficiency"in China stock market.It takes the samples of daily stock price index from Shanghai Stock Exchange and Shenzhen Stock Exchange with the period of the very beginning of the stock market formation in Shanghai and Shenzhen (1991-2001).The number of observations is 2700 or so.All of the samples is divided into three phases.The first phase is from the initial transaction day to May 19th,1992,the second phase is from May 20th,1992 to December 15th,1996 and the third one is from December 16th,1996 to December 31st,2001.Three test methods:DF test,white noise test and runs test are applied to the statistic test on the "weak form efficiency"of China market respectively.The results of the tests demonstrate that the first phase not passed the three tests whether in Shanghai or Shenzhen.So we can conclude that the stock market in the first phase didn't reach the "weak form efficiency".But the second phase passed the three山东大学博士学位论文 8 “policy market”, but examining the characteristics of functional mechanism of stock market exerted by macroscopic policy, making basic evaluation of macroscopic policy posted on stock market, and putting forward policy suggestion regarding to how macroscopic policy should be carried out in stock market. Third, this dissertation points out the difference between “policy effect” and “policy efficiency”. “Policy effect ” ling in stock market doesn’t mean “policy efficiency”. Only when stock market reacts to policy information promptly, exactly, and fully can it be considered as “efficiency”. Chapter two is a research statement about the Efficient Market Hypothesis. First, it gives the introduction of the fundamental theory frame, then it makes a detailed statement about three efficient markets on the basis of research literatures both in China and abroad. The foreign literatures demonstrate that this theory has been proved correct in most cases by statistic tests though the Effective Market Hypothesis is challenged by practice, From the point of views of Chinese economists, most of research conclusion indicates that the stock market of China didn’t reach the “ weak form efficiency” before 1992, but the stock market basically reached or almost reached to the “weak form efficiency” after 1993. If one considers whether it has reached “half-strong efficiency”，there are large divergence ideas among academic circle. Chapter three elaborates the statistic test about the nature of the“weak form market efficiency” in China stock market. It takes the samples of daily stock price index from Shanghai Stock Exchange and Shenzhen Stock Exchange with the period of the very beginning of the stock market formation in Shanghai and Shenzhen (1991 –2001). The number of observations is 2700 or so. All of the samples is divided into three phases. The first phase is from the initial transaction day to May 19th, 1992, the second phase is from May 20th, 1992 to December 15th, 1996 and the third one is from December 16th , 1996 to December 31st, 2001. Three test methods: DF test, white noise test and runs test are applied to the statistic test on the “weak form efficiency” of China market respectively. The results of the tests demonstrate that the first phase not passed the three tests whether in Shanghai or Shenzhen. So we can conclude that the stock market in the first phase didn’t reach the “weak form efficiency”. But the second phase passed the three