Empirical Study On The Size Effect And Month Effect In China Stock Markets

Because of the conflicts with EMH and CAPM, the size-effect and month-effect are often discussed in the literatures about market anomalies and plays an important role. From the empirical study we find that, the size-effect and month-effect is a widely and long term existed phenomenon in many Western industrialized developed countries and some emerging stock market. The existence of the phenomenon is very difficult to explain by the existing asset pricing model and the efficient market hypothesis theory, so thesize effect and monthly effect as the stock market is the most important" market anomaly" by many western financial economists’close attention. The studies about size-effect and month-effect are mature in the Western countries, but in our country, these studies are just beginning.In recent years, to the Chinese stock market efficiency, a lot of scholars in our country undertook extensive research on it, but is relatively small in the stock market anomaly. Therefore, there are a lot of research spaces. It has great economic value and practical significance that how to effectively use foreign mature research results to make an objective analysis of size effect and monthly effect of China’s stock market, and further analysis indicates economy behind them and decision meaning.The purpose of this study is to test whether or not there are size-effect and month-effect over China stork market just like Western industrialized developed countries, and to discover the possible and deep-seated causes, which make existence and continuance based on the2005-2008years in Shanghai and Shenzhen A shares. Finally, to China’s stock market anomalies’status, provide investment strategy recommendations.