Research On The Difference Of Scale Effect Between Main Board Market And Growth Enterprise Market

Since 1990,the main board market has entered the people's field of vision as the core sector of China's securities market.As time goes by,more and more enterprises are beginning to appear in the main board market.In 2009,an emerging sector,the GEM,started to take off.The emergence of this market has enabled many SMEs to have their own financing channels and improve their capital flow efficiency and visibility.As experts continue to study these two markets,they find that there is a market phenomenon,that is,the scale effect appears in these two markets.In the process of the continuous development of China's securities market,the number of stocks in the market is also constantly With the increase,the research on scale effect keeps pace with the times and becomes more and more rigorous.This paper will compare and analyze the differences in scale effects in the two markets,so as to find the law of investrment as much as possible.The efficient market hypothesis proposed by Fama has always been regarded as the classic theory of traditional finance.Under the assumption that people are rational and the market is perfect,the market is effective,and market information can be reflected in asset prices.Sharp's capital asset pricing model also proves a positive correlation between expected returns and risk coefficient ?.However,in recent studies,there is a partial excess return,the capital asset pricing model cannot explain it,and contrary to the efficient market hypothesis,this phenomenon is therefore called the market vision.The market vision includes mainly calendar effects,stock premium mystery,herd effect,scale effect,overreaction and underreaction.This paper focuses on the scale effect research,subdivided into the scale effect of the main board market and the GEM market.While confirming the possibility of its existence,it also compares the existing reasons,which is not in other literatures.There have been research methods.This paper uses the CAPM model and the FAMA three-factor model,as well as the statistical method to empirically analyze the main board market and the GEM stocks that meet the requirements of the Chinese stock market from January 2010 to December 2018,and divide the company into large and small scales.The three groups confirmed the existence of the scale effect and compared them according to the data in the research results.The research shows that the difference in scale effect between the two markets is manifested in three aspects:scale difference,cyclical difference and excess return rate difference.Due to the particularity of China's stock market management and policy,this paper also analyzes the reasons for the scale effect of the two markets,and compares them to better find effective investment methods and gain profits to a certain extent.