The Empirical Study Of Size Effect In January In China's Stock Market From The Perspective Of The Year-end Bonus

With the continuous improvement of the stock market,the stock market constantly appears abnormal phenomenon.The phenomena has been the subject of much research and attention of scholars at home and abroad,such as the "size effect","month effect" and so on.Study on the abnormal phenomenon of abnormal phenomena in security market is more worthy of these scholars in depth,such as "the small firm effect in January" and so on.Although many domestic scholars have studied the "scale effect" and" the small firm effect in January",they did not reach the same result,especially "the January effect size".And a lot of literature does not carefully study the reason.This paper,by using statistical software Eviews5.1,the ten points method and the sample group,and using the method of panel regression model,has carried on the empirical analysis "the scale effect in January "with the stock market of our country.That is " the small company effect in January".At the same time,this paper also empirically tests the effect of the year-end dividend on the scale effect of January.Through case studying,it is found that(1)the stock market of still exist "the scale effect in January",that is,this phenomenon that the scale is small and the rate of return of the stock will be higher is very obvious in January.It also found that only small firms with higher risk in stock market of our country exhibit the apparent size effect in January;(2)the year-end bonus affect"the size effect in January".When the year-end bonus dividend payment time is in January,"the size effect in January" is evident.From the perspective of the year-end dividend payment terms,When the company's annual rate of return is positive,the enterprise will generally issue year-end dividends and "the scale effect in January" is evident.From the perspective of the year-end dividend payment,when the entire stock market is bull market,the year-end bonus is more.The scale of January performance is obvious.And year-end bonus hypothesis can also explain that,based on the phenomenon of scale effect in January,only those who have high volatility and a higher risk of small business has a higher rate of return.