ADF test was applied to test Shanghai Stock Index and its transaction volume. It was found that Shanghai Stock Index close value was a unit root process, the transaction volume was a trend stationary process and the market was efficient.

• 对上海证券指数收市价及成交量作了ADF检验 ；发现指数收市价存在有单位根 ；价格服从随机行走模型 ；成交量趋势平稳 ；市场是有效的 .