The Empirical Research On The Influence Factors Of The Wheeled Phenomenon Between Large And Small Cap In Stock Market

Style investment refers to investment in some with the same stock price, or the same income characteristics of the stock, in recent years style investment is more and more attention. The investment style can be simply divided into value and growth, large-cap and small-cap stocks, the style of the large and small cap, as a common style of the stock style, is also more and more attention. The wheeled phenomenon is the variation between the large-cap and small-cap stocks investment style, namely the price of the large-cap and small-cap stocks changes in turn. For example, from October 2014 to December, the returns of the large-cap stocks is higher than the small-cap stocks; but from January 2015 to March, the small-cap stocks is quickly pulled up, and the returns of the small-cap stocks is higher than the large-cap stocks. Especially the performance of small-cap stocks is significantly better than the performance of large-cap stocks in recent years, the wheeled phenomenon between large and small cap stocks is worthy of study.In order to study the wheeled phenomenon between large and small cap stocks, we have selected the Shen Wan(SW) large-cap index and SW small-cap index as the representatives of the large and small cap stocks, and selected the cumulative value of the difference between SW small-cap index returns and SW large-cap index returns as a measure indicator of the wheeled phenomenon. Then we have made relevant statistical study, and verified the existence of the wheeled phenomenon between large and small cap stocks in the stock market. After, we will analyze what factors will have an impact on the wheeled phenomenon. By considering, we identified macroeconomic factors, market factors, valuation factors and investors' expectations in four areas, a total of 14 relevant variables as the factors that influence the wheeled phenomenon.After we discussed these influence factors, we use the real data to analyze these factors empirically. In this paper, the empirical methods mainly include impulse response analysis, multiple regression analysis and the use of Logistic model. By using the Impulse response analysis, we found that the impact of these factors has a positive or negative impact on the wheeled phenomenon, and the degree of the impact varies, and the aging of the impact is also different. Through multiple regressions analysis, we find that Purchasing Managers' Index, the volume difference between large and small cap and the price earning ratio of the large-cap stocks have a negative effect on the wheeled phenomenon, namely the increase of these variables will make the wheeled phenomenon towards large-cap stocks; And the money supply, the price earning ratio of the small-cap stocks and investors' expectations have a positive effect on the wheeled phenomenon, namely the increase of these variables will make the wheeled phenomenon towards small-cap stocks. With using the Logistic model, we can predict the probability of the wheeled phenomenon between large and small cap stocks, so as to achieve the purpose of guiding the actual investment. In this paper, we performed a simple investment strategy comparison. Through comparative study, we found that investment decisions by Logistic model prediction can get a better return on investment, on the basis of the existing factors.