Summary of the works
As indicated by Efficient Market Hypothesis, the current information can be sufficiently reflected on market price (Fama, 1970). This idea is however challenged for its ability to describe the real market situation (Shiller, 2003).
In terms of stock market, it is thought that the market price information is further comprised of economic situation, connected with private organisational profit and political effect. Hence, whether the stock market price would sufficiently contain macroeconomic information is prevalently researched.
Implemented by Apriori algorithm, our research aims to explore if Chinese stock market (based on SSE index) already reached or has gradually achieved the efficient market degree, with respect to 8 economic indicators during 2000 to 2017.
Our findings indicate the patterns of efficient market turn to be apparent in China. This is furthermore the case after 2010 where the price fluctuation of SSE index can be, to gradual degree, explained by macroeconomic indicators, particularly IAV, FAI and TRS which are associated with M2, r and CPI.
Lastly when real estate environment is added, it is found that the real estate issue can be applied to explain market price fluctuation, specifically since 2005. This can probably be attributed to communal economic effect between stock market price and real estate boom, for instance, monetary policy in China (Tsatsaronis and Zhu, 2004; Koivu, 2012; Xu and Chen, 2012).
Latest update by Darren, 2020/06/12.