China’s Four Stock Market Price Decision Model Research Comparative Study

The efficient market theory is that, information stimulus price fluctuation; The stockprice is decided by a information set. F10information is China’s stock market relativelycomplete information set. Through the daily collection, processing F10information, theextracted6types of more than40a quantitative index; To establish the correspondingarbitrage pricing model, using stepwise regression method, and find out the small andmedium-sized plate, gem, shenzhen exchanges A shares and Shanghai a-share stockmarket price and the factors affecting the pricing model, and carries on the analysiscomparison. The results show that each stock market focus first kinds of factors are thefuture earnings forecast elements; Small and medium-sized plate and gem and focus onnext year income and the year after next earnings, shenzhen exchanges, Shanghai A sharesalmost only pay attention to the year after next earnings. Asset class factors on gem stockprices have important influence. Shenzhen exchanges and the Shanghai stock market alsoseparately by the capital factor and the position of the larger impact.In this paper, at first the efficient market theory, capital assets theory and the arbitragepricing theory and the statistical correlation theory introduction, summarizes thetheoretical foundation of this paper.Secondly construct how far the linear regression model, to extract F10information dayby day, gradually regression analysis.Again, the regression analysis, the empirical results, for each market plate empiricalresults are described, and draw every stock market pricing characteristics, and respectivelyon capital factor, the position factor, assets factors, management factors, the futureearnings forecast factors and growth factors6kinds of factors of various market plate indifferent conditions are compared, draw of our country stock market pricingcharacteristics.Finally, based on the empirical results this paper expounds for our government,investors and listed company’s revelation, and in the light of the problems existing in theresearch of this paper puts forward the related outlook.