The Wheeled Effect Between Big Share And Small Share In Chinese A-share Market

With the development of China’s stock market, the market began to appear more and more stocks, the concept of dividing the stocks into varieties of industries began to appear, and the most popular stock market investments are gradually converted into industry investment, people are more to start thinking about investing logic concepts, the plates. Especially since the share reform, the stock market’s liquidity greatly enhance "wheeled effect " is more obvious between the industry, the fact make China’s stock market speculation has become a veritable "policy market". About "wheeled effect ",more explore and analyze are between industry analysis, and "wheeled effect "in Scale is less involved, such as the commonly known as the "big share" and "small share" is wheeled changed, and the quantitative analysis of "wheeled effect " is few, it is difficult to accurately analyze the degree of influence of each variable to affect wheeled effects.First, because of the lack of the studies about "wheeled effect "in Scale and the lack of quantitative analysis,so this article analyzes the effect "wheeled effect "in Scale, and about the eventual establishment of a quantitative model. In the initial study data selection, This article start and find the existence of "wheeled effect "in Scale between the big stocks and small stocks from the Chinese stock market "Pareto phenomenon", and then select the data to calculate history earnings of stocks, to prove " wheeled effect "in Scale we use the big share gains minus the small share gains "income poor" to measure this effect, and in the use of relevant statistical analysis based on Chinese wheeled effect does exist on such a scale, defined as "the size of the disk share wheeled effect."Secondly, after analysis we have proved that " the size of the disk sector rotation effect" exists at the level of this scale, we need to analyze what factors impact such wheeled effects. In analyzing these factors when selecting paper in accordance with the logic of the stock market in general studies from the large number of variables to select the macro, meso and micro factors and investor psychology, verify which of these variables on the "size of the disk sector rotation effect" exists significant impact. By correlation, cointegration and Granger causality test and found that the macro, meso and micro factors and investor psychology affect "the size of the disk sector rotation effect". Finally we can see more than20variables selected from these four factors.Finally, in order to solve the lack of the quantification in previous studies, this paper use macroscopic variables, micro and investor psychology factors about " the size of the disk sector rotation effect " for the quantitative analysis, the first measure is the establishment of a regression model about the PMI index, M2growth,"Kim-doctors’ income poor," Kim-the letter " income poor, the Shanghai Composite Index monthly income rate, market price-earnings ratio, the ratio of monthly volume size of the disk, the size of the disk yield spreads early data which eight variables as explanatory variables regression to establish measurement regression model. Then, use the model of the impulse response and function analysis model to study the impact of changes about the variables affect the "the size of the disk share wheeled effect."...