中国股票市场规模效应TAR检验，

自本兹提出股票市场规模效应之后,许多研究者对于规模效应是否存在进行了不同方法的检验。目前研究的基本结论是,规模效应可能存与,但在时间序列上却呈现出明显的不确定,即在有的月份、年份表现得很明显,而在有的月份、年份则不明显。那么,规模效应还与其他因素有关吗?本文使用门槛自回归(Threshold Auto regres-sion,TAR)方法检验中国股票市场的规模效应,探讨规模效应在不同行业之间的分布情况,以期窥测规模效应与行业之间的关系。研究结果显示,股票市场的规模效应与行业存在显著的关系。

TAR Verification of Size Effect in the Stock Market in China

Since Banz advanced size effect,many investigators have verified whether it is present through various means.The basic conclusion is that the size effect may be subsistent,but it is stochastic with time.That is to say,it appears in some month and year but dose not in other month and year.Then does the size effect relate with other facts? By using the threshold auto regression,this paper will verify the distribution of size effect among the different industries in China stock market.It concludes that there is apparent relation between the industry and the size effect in China stock market.