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鉴于“有效市场假设”ＥＭＨ在经济领域的基石地位，本文旨在针对上海股市ＥＭＨ的成立状况给予系统的实证检验．首先介绍了ＥＭＨ的经济涵义，之后由其数学描述“随机游走模型”出发，将ＥＭＨ的验证工作剖解为价格的单位根检验和收益的独立性检验两部分．针对ＥＭＨ验证这两方面时所用传统方法的不足，引进提出了若干更符合ＥＭＨ经济涵义的检验方法．最后通过对“钱龙系统”提供的实际数据进行实证检验，得到的结论是：ＥＭＨ在上海股市不成立．
In view of the “effective market assumption” EMH’s cornerstone position in the economic field, this article aims to systematically test the establishment of EMH in Shanghai Stock Market. First of all, the economic meaning of EMH is introduced. Then, starting from its mathematical description of “random walk model”, the EMH verification work is divided into two parts: the unit root test of price and the independence test of return. Aiming at the shortcomings of the traditional methods used by EMH in the verification of these two aspects, several test methods that are more in line with the economic meaning of EMH are introduced. Finally, through the empirical test of the data provided by Qianlong System, the conclusion is: EMH is not established in Shanghai stock market.