Chinese Stock Market Economies Of Scale Empirical Study

"size effect" in stock market means that small cap firms have higher income-rate than large cap firms. The purpose of this study is to test whether there is "size effect" in China stock market as the mature stock market in West Country. As a relative study of Efficient Market Hypothesis (EMH) "size effect" has been controversial in academe and business environment. Western study comes to mature gradually but it just begins in China. In spite of short sampling areas, small sizes and lack of data owe to the only more than ten-year constitution of China stock market, it is indispensable to do some empirical researches on "size effect" .The study of "size effect" in China stock market will provide important information for the function of market mechanism to income rat. The information will help to constitute relative policy for the stock exchange and the manage department, and as an investment strategy reference inducting market investor achieve the market profit.This paper firstly reviews the market anomalies and each school's explanation of the Anomaly. In the base of this, this paper discusses that " size effect", as a Anomaly of stock market, impact the EMH and CAPM. Secondly, this paper reviews the study process and study production of " size effect" in West Country and in China. After this, this paper test whether there is "size effect" in China stock market during 2000-2003 by the way of all samples demonstration and part of samples demonstration separately. The result of this study will provide theory bases for instituting relative investment strategies and suggestions. At the same time, the paper points out the relationship and the difference of the two measures. Additionally the paper demonstrates that in which industry the "size effect" behaves evidently.In order to attest to the former result of the paper, that is: there is a reverse relationship between the income rate and firm size, the author use a linear regression to analyze which factors have the influence to buy and hold returns, suggesting some relative investment strategy. Also the paper generalize what the manage department and all firms, as the mean investors in the stock market, can lean from this in the condition of presence of" size effect" in China stock market. This can rightly confirm the significance of this test for the academe and business environment.