Shanghai A-share Market "size Effect" And The "january Effect" Theory And Empirical Research

Because of the conflicts with EMH and CAPM, the size-effectand month-effect are often discussed in the literatures about marketanomalies. The studies about size-effect and month-effect are mature in thewestern countries, but in our country, these studies are just beginning. Thepurpose of this study is to test whether or not there are size-effect andmonth-effect over China stock market, and to discover the possible causes,which make their existence and continuance.According to the characteristics of China stock market, the articletested whether or not there are size-effect and month-effect over Chinastock market and discussed the relationship between them, whichillustrated by the data of shanghai A-stock market from 2000 to 2004,under the condition of being grouped by total market value and negotiablemarket value. Then, the article made some primary tests with these majorinterpretative hypotheses and obtained conclusions:1. As the market anomalies, size-effect and month-effect can'texist forever. Following with the market situation's change, these twoanomalies were decreased over domestic market.2. The empirical result couldn't support the neglected firms andfluid-effect hypotheses as the interpretative causes to the size-effect overChina stock market.3. Because of the data's limitation, it is doubtful whether or notthe tax-loss hypothesis can explain the month-effect of small firm, howeverthis article gave the primary analysis and speculation.