我国股票市场“规模效应”的实证研究.pdfVIP

摘 要 “规模效应”是股票市场上一种重要的异常收益现象，反映了股票收益与公 司规模之间的反比关系。 本文采用分组排序和最小二乘回归的方法对我国上海股票市场是否存在“规 模效应”进行了检验，并且对按行业分类的子股市是否存在“规模效应”进行了 尝试性探讨。在回归中，考虑了我国股市中牛市和熊市的区别，引入斜率虚拟变 量进行回归检验。得出的结论是上海股市在 1992 年 7 月至2003 年 6 月不存在“规 模效应”；所检验的三个行业：纺织、石油和机械行业在 1993 年 7 月至 2003 年 6 月之间也不存在“规模效应”。但是，检验过程中发现，上海股市整体和机械 行业子股市存在显著的“三月份规模效应”；牛市和熊市的区别对我国股市“规 模效应”并无显著影响。 本文认为我国不存在国外专家和学者解释股市存在“规模效应”的原因，主 要表现在我国不存在小公司的“被遗忘效应”和“纳税效应”，同时我国小公司 的流动性也比较高，而且并购的壳资源也不限于小公司，这也进一步印证了我国 股市不存在“规模效应”的结论。同时，由于无风险套利活动的存在将逐渐实现 金融市场的无套利均衡，导致我国股票市场的“规模效应”减弱以致消失。本文 认为股市整体存在“三月份规模效应”的主要原因在于我国股市还是政策市。 关键词：股票市场 规模效应 行业 实证研究 Abstract The Size effect is an important phenomenon of the market anomalies and reflects the reverse direction between the stock return and the firm size. By arranging in size order then grouping and the ordinary least squares regression, this paper test whether the size effect exist in shanghai stock market and in the sub-stock market sorted by industry or not. A dummy variable is introduced to tell the difference of bull market and bear market in the regression model. We draw a conclusion that the size effect does not exist during Jul 1992 to Jun 2003 in shanghai stock market. The size effect does not exist in three industries tested in this paper, which are textile industry, oil and plastic industry, machine industry during this period. At the same time, the size effect in March is very apparent in the whole stock market as well as in the machine industry. The difference between bull market and bear market cannot impact the whole stock market remarkably. It is considered that the reasons which scholars put forward including the neglected-firm effect, tax-loss selling effect, ect do not exist