Sample Case Study on Day-efficiency Hypothesis in Shanghai Securities Market
上海证券市场日期效应检验及其有效性的研究

The returns of eighteen typical stocks which have been selected randomly in Shanghai securities market are considered as samples. It analysises the day\|efficiency in market return and its variance. Through the sample case study on Shanghai securities market, it founds that there exits rather evident day\|efficiency. This conclusion supports that Shanghai' stock market is accord in the weak form of efficient market.