Analysis of Chinese Market Rationality Based on Co-integration

Rationality represents the maturity of a stock market.In this paper, the author applies co-integration theory to the analysis of specific securities instead of index and finds no co-integrative relation between prices and returns of companies' management.On the basis of this empirical study, the author concludes that the stock market can not reflect the real economy of the company and the behavior of investors is therefore unreasonable.