The Test of Shenzhen Stock Market Efficiency Based on Behavioral Asset Pricing Model

Based on capital asset pricing model (CAPM), behavior asset pricing model (BAPM) and Ramiah & Davidson ´s(2003) theory, we test the efficiency of Shenzhen stock market by calculating the noise trader risk (NTR = beta^c-beta^b), the results show that the 15 stock portfolios´ NTR is not a significant zero, indicating that Shenzhen stock market is inefficient. In the process of testing we used BJS method, meanwhile made two adjustments on building of the dynamic volume index (DVI) when we used the BAPM: 1 replacing trading-volume with exchange rate as the criteria of selecting stock portfolio; 2 making stock portfolios more stable in short time. The modify dynamic volume index (MDVI) meet the principles and idea of building DVI, at the same time, improving the accuracy of estimate.