An Empirical Analysis In The Small Firm Effect Of A-share Market In China

In recent years, China’s A-share market development is rapid, with the2005stock systemreform, China’s stock markets entered a new era. With China’s A-share market is graduallystandard and mature,the study of the operation principle is more important.Which the financialcommunity interested in “The small firm effect”phenomenon,there are serious equitysegmentation before the Chinesestock market,less research,study of this phenomenon is still alarge sapace.In this paper, the empirical tests of the A share market " The small firm effect", theexistence of the circulation of the market value and total market value as the standard for thescale of the scale of the excess investment yields correlation analysis. The empirical results showthat, the A share market did in a certain extent existing "The small firm effect", especially thetotal market value as a scale standards are the most obvious, also found that " The small firmeffect" on a phenomenon of stage, in July2006to June2008performance was not obviousinterval. In addition this article through to the comparison of the different months, Chinesestockmarket found in a " The small firm January effect", but compared with foreign countries,"January effect" often reflected in two in March, that is largely because China the influence ofthe lunar New Year festival.About the A share market " The small firm effect" formation, this paper argues that themost is mainly composed of small company liquidity risk caused by high cost, the other Chineseinvestors because there are serious "herding" of market manipulation manipulation and wait for aphenomenon, it also led to a " The small firm effect" produce. Of course, the deeper reason of a "The small firm effect" formed is the A share market internal structural and institutional defects.