| Capital asset pricing model (CAPM) and efficient market hypothesis, which are the foundation of classical finance theory, mainly discuss the behavior of capital markets based on perfectly competitive market and the 'rational man' hypothesis.They had a profound impact domestic to the relationship between return and risk in capital market around theory circle and practice circle at home and abroad. CAPM account the only factor that affects the stock's expected return is the systematic risk, exists positive linear relationship between them. However, during the last three decades, more and more research confirmed that there are still so many inexplicabilities away from the traditional CAPM or goes against with the efficient market hypothesis when maintaining stock market equilibrium. In particular, the anomalies of stock market illustrated that we can not entirely study the internal operating rules of stock price under classic framework of CAPM. Besides systematic risk, there may are still some other factors could explain the phenomenon of stock abnormal returns. Such as: size effect, earnings-to-price effect, book-to-market effect, overreaction, underreaction, weather effect, etc. Many scholars, such as Fama & French, etc. try to use different study methods, selecting different countries, different periods of sample data, different study perspectives to give the explanations under efficient market hypothesis. However, the existing theory couldn't give a reasonable explanation for these problems.From another point of view, they also provided us a new perspective or approach to deeply study the stock price formation and variation rules in the capital market. Therefore, the anomalies of stock market once are discovered, they would became the focus of theory circle and practice circle. To explain these anomalies need to develop new theories and methods, which also contributed to the development of financial discipline to some extent. Based on this kind of consideration, during the last three decades, many scholars at home and abroad selected different countries, different time intervals, different samples data to study on the anomalies of stock market from different angles. But most of all the methods used for the study had a common feature that researchers would build different portfolios based on a particular characteristic value (such as book- to- market, size, earnings-to-price, etc.) by their subjective idea. However, especially for A share market, few scholars chose panel threshold regression model (Hansen, 1999) to analysis the anomalies of stock market. After nearly two decades of booming development, A-share market has accumulated plenty of operating data to provide precious data foundation for our study on the size effect and book- to- market effect of two markets. In addition, a large number of foreign relevant theory provides a good theoretical guidance for our present study. Using new nonlinear measurement methods: (panel threshold) to comparative analysis before and after the split share structure reform of A-share market size effects and book- to- market effect existence, causes, and the impact of A-share market by split share structure reformation. On the one hand, it can help us strengthen the A-share markets structural characteristics, market trading mechanisms, behavior of market participant and market pricing mechanism, etc. which influence the behaviors in stock market at the micro-level, the differences between Shanghai stock market and Shenzhen stock market. And then, by comparing the empirical results of two market, the operation features of two markets were found and the empirical basis of two markets'operation law was provided to regulators for studying the regularity and robustness of stock market anomalies changing over time.For this reason, by utilizing the non-linear measurement methods - panel threshold model (Hansen ,1999), this thesis selects a part of listed companies up to December 31, 1996 on A share market as research objectives, taking April 29, 2005 as the cut-off point of substantive share-split reform, considering the impact of Heterogeneous expectation to analysis and compare the anomalies of stock market before and after the split share structure reform, to test the existence of the size effect, book- to- market effect , a brief analysis of the causes of anomalies and interrelationship of two anomalies, and then, tests the affection of split share structure reform to A share market effectiveness.The main conclusions of this paper are as follows:Firstly, Between January 1997 to April 2005, prior to the split share structure reform, research shows that: on the whole Shanghai A Stock market has significant size effect, and no obvious book- to- market effect, while Shenzhen A Stock market has significant size effect and also obvious book- to- market effect. However, after the completion of the split share structure reform between January 2008 to October 2010, research shows that: on the whole, Shanghai A stock market still has significant size effect, but no book- to- market effect, while Shenzhen A stock market has significant size effect, but no book- to- market effect .Secondly, It is tested that prior to the split share structure reform, In Shanghai A stock market company size has double threshold. It is positively, negatively, and negatively correlated in the three sample areas respectively with stock return.It is not statistically significant in the positive area.Most of the sample companies are in the latter two areas, statistically significant but to different degree of explanation,accounting for 90.01% of the total samples. Book- to- market has single threshold effect, has negative, positive correlation with stock return in two interval, but not statistically significant in the positive area. In Shenzhen A stock market, company size has no threshold effect, and book- to- market has single threshold effect. book-to-market has negative, positive correlation with stock return in the two interval. In the negative area , no significant statistics; but significant in the positive area, accounting for 55.39% of the total samples.After the split share structure reform , In Shanghai A stock market, company size has single threshold, is significantly negative correlated with stock returns in the two interval, but degree of explanation is different. Book-to- market has no threshold effect. In Shenzhen A stock market, company size has single threshold, is positively, negatively correlated with stock return in the two interval , accounting for 55.39% of the total samples. but not statistically significant in the positive area, Book-to- market has no threshold effect. Therefore, when we do the analysis for size effect and book-to-market effect in Shanghai and Shenzhen stock market before or after the reform, we need to differentiate the different trend of in different area.In different threshold areas . company size, book-to-market on stock returns are explained by the degree is different, the former is mainly due to the different scale of the company stock price manipulation by the declarer, merger and reorganization of the difficult easy degree is different the active degree is not the same; the latter mainly due to different book to market value than the company fundamentals are not the same, stability volatility of stock price, not the same degree.Thirdly, the influence of company size . Test results show: before or after the split share structure reform, company size in Shenzhen A stock market has more significant explanation on the stock return than those companies in Shanghai A stock market.Before or after the split share structure reform,Longitudinal comparison tell us the role of company size on stock return in both market has been enhanced.Fourthly, the influence of book-to- market . Before or after the split share structure reform, in the four samples area in Shanghai and Shenzhen A stock market,only book-to- market in Shenzhen A stock market has obviously positive relationship with stock return.In other cases, therefore book-to- market effect is not obvious. Fifthly, the influence of heterogeneous expectation . Test results show that, before or after the split share structure reform, in the four samples area in both Shanghai and Shenzhen A stock market,heterogeneous expectation has positive impact on the stock returns.It plays a significantly predictive role on it.Besides,the proxy variable exchange rate and stock return are positively cross impacted, that means, the higher the exchange rate of company stock is, the greater the stock return is. Before or after the split share structure reform heterogeneous expectation has great effect on stock return in Shenzhen A stock market than in both Shanghai A stock market , The longitudinal comparison in Chapter 7 shows that after the split share structure reform, in both Shanghai and Shenzhen A stock market, heterogeneous expectation has less effect on stock return.Sixthly, trading volume. Test results show that before the split share structure reform, the trading volume in Shanghai A stock market plays a significantly negative role on stock return, which means the less the amount is,the higher the return is. Compared with Shanghai A stock market, in Shenzhen A stock market,it has the same negative relationship with stock return, but more obvious than that in Shanghai A stock market.After the split share structure reform test results show that the trading volume in Shanghai A stock market play a significantly negative role on stock return. However,Shenzhen A stock has greatly impact than Shanghai A Stock.Seventhly, The interactions of company size and book-to-market.Before or after the split share structure reform,the four sample area in Shanghai and Shenzhen stock market tell us that company size is not related with book-to-market.Eighthly, Longitudinal results showed that: Overall, the split share structure reform to some extent contributed to the Shanghai and Shenzhen A-share market efficiency improvementsNinthly, China's stock market is not mature, irrational, speculative, making a serious price manipulation, small-scale mergers and acquisitions the company is hot, but also investors hit. Overall, the split share structure reform has not completely change the Shanghai and Shenzhen stock markets highly speculative characteristics, before and after the split share structure reform, Shenzhen A-share market speculation, instability are stronger than the Shanghai A-share marketThe main innovative points are as follows:â‘ Different from the existing literature mostly construction cross section data model or time series data model, To solve this problem, this paper constructs a panel data model, this can identify some in front of two kinds of models can identify factors to improve the accuracy of the estimation of model parameters. on the basis of,In order to overcome the subjective packet causes the analysis result the deviation, this paper attempts to use panel threshold model to improve this deficiency, according to the sample data information threshold partition points out, to distinguish the asymmetric relationship between area, so that it not only can show different threshold area size effect, book-to-market effect exists, and can explore different threshold within the range of company size, book to market on stock returns to explain the extent. The test results showed that, in different areas (the existence of threshold or absence of threshold ), showed a different pattern; and in different threshold areas, due to the different company size (book-to-market) was manipulated, merger and reorganization of the degree of difficulty is not the same ( fundamentals are not the same, stability, so.) led to the threshold variable (company size or book-to-market) on stock returns explain to different degrees, and most previous research conclusions there is a significant difference in a single rule. This is change that Analysis of stock anomalies of the method used, mostly based on their subjective idea of the study sample according to the feature values from low to high ranking construct different investment portfolio analysis, because the artificial distinction sort will lead to different conclusions.â‘¡In previous studies, most Chinese scholars to construct the corresponding stock portfolio as the case study object, sample selection time short, chosen mostly in 2005 before the Shanghai A stock data, and different scholars for market scale definition of inconsistency, to cover the overall market, caused by the repeated verification and research sustainability is poorer, To solve this problem ,this paper selects the Shanghai and Shenzhen A shares before and after the split share structure reform, four time of samples for analysis. Through comparing the test results Shanghai &Shenzhen A shares to the analysis of the split share structure reform on the stock market efficiency. The results show that before and after the split share structure reform, Shenzhen speculative atmosphere than Shanghai to strongly, Overall , the split share structure reform contributed to the Shanghai & Shenzhen A-share market efficiency improvements.â‘¢This paper considers the heterogeneity effect, and perceives the turnover as the proxy variable of heterogeneous expectations. Improvement for most studies seldom consider the heterogeneity effect.Currently,most research only examine such type stock vision solely. However, on the basis of this, this paper analyzes the relationship between size effect and book-to-market effect , and try to test two anomalies factor interactions. Based on the threefactor model of Fama&French, this paper selects company size, book to market value ratio, volume, turnover , interactions factor to establish the new model for analysis test before and after the Shanghai and Shenzhen A shares anomalies. The test results showed that before and after the Shanghai and Shenzhen A shares heterogeneity effects are present, the expected difference in degree and stock returns are related, before and after the expected difference in degree on stock returns to explain the extent of Shenzhen than Shanghai strongly, the weakened heterogeneous expectations on two city influences; size, book-to-market does not exist interactions.
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