Characteristics Of The Split Share Structure Reform, After The Shanghai Stock Exchange ¦Â Coefficient

With the completion of the nontradable shares reform, the basic structure of China's securities market will also change, which would lead to a more market-oriented securities market. This paper studies the securities whose share reform have been completed for more than one year in Shanghai stock market to find correspondingβcoefficients' characteristics in the full circulation era of China's securities market ,in order to help us test the reform effects and use ofβcoefficients more efficiently. At the same time, this paper comparesβcoefficients' characteristics after share reform with those before share reform to measure the effort of share reform.Using corresponding theories of investment, this paper does corresponding study in the fields ofβcoefficients' stability and predictability in Shanghai stock market after full circulation. We find that 73.3% of these stocks pass the Stability Test-CHOW test, and they are less stable after share reform. With the expansion of combination sample size, portfolio's (3 coefficients gradually expand. The predictability is to compare the three forecasting methods accuracy. The results show that Vasicek Amendment Act is better than Blume Adjustment Act and the historical estimate method before the share reform, and Blume Adjustment Act is best after the share reform.