中国股市“规模效应”和“时间效应”的实证分析——以上海股票市场为例

本文以沪市为对象考察了我国股市的“规模效应”和“时间效应”。作者通过实证研究发现 :中国股票市场并不存在西方国家股市普遍出现的“小公司 1月份效应”。但小公司“规模效应”表现显著 ,其中小公司股票在 3月份和 8月份的相对收益率明显强于市场指数 ,而剔除风险因素以后 ,统计数据显示小公司效应几乎在全年大部分月份都有较显著表现。分析上述“异象” ,我们认为 ,中国股市复杂的市场结构和制度背景所导致的小公司股票独特的流动性问题 ,是小公司股价存在持续超额收益率的内在原因

An Empirical Study on the Size Effect and Time Effect of the Stock Market in China ——Based on Shanghai Stock Market

This article analyzes the size effect and time effect of the stock market in China according to the case study on Shanghai stock market. We find that in China there is no January effect of small firms, which is a universal phenomena in west countries. However, the size effect of small firms is evident, and the comparative yield of small firms in March and August is apparently higher than market index. Weak evidence show that small firms effect almost exist through the whole year after eliminating risk elements. Analyzing these anomalies, we think that the characteristic liquidity problems of small firms' stocks, which are caused by the complicated market structure and system background, are the inner reasons for the sustaining CARs in small firms.