Empirical research on the efficiency of Chinese stock market based on the CSI 300 index series

In this paper, we firstly review the development process of the Efficient Market Hypothesis. Then by using statistics analysis, normality test and R/S analysis method, we analyze the characteristics of the sequence of daily return of CSI300 index. The sequence follows a “leptokurtic and fat-tail” and a biased distribution. The Hurst exponent is 0.6817, more than 0.5, indicating the CSI300 index return series is not a random sequence, but a persistent sequence with long memory. So, we can come to the conclusion: the Chinese stock market is not fully in coincidence with the theory of Random Walk and not an efficient market at present stage.