Empirical Research Of The Six-Factor Model Based On Speculative Factor In-China's A Share Market

China's A-share market has become one of the main venues for solving the financing difficulties of listed companies.On the one hand,equity financing will help listed companies expand financing channels and improve their asset-liability structure.On the other hand,they can continuously improve China's multi-ownership economic structure,and play well the role of the shareholding economy in promoting China's economic development.After nearly 30 years of development,China's A-share market has become the second largest stock market in the world.The stock market has made significant contributions to the development of China's economy.However,the positioning of China's A-share market is mainly focused on financing functions,and the investment function has not received enough attention.In order to solve the long-standing problem of IPO “blocking lake”(nearly 1,000 companies awaiting trial at the end of 2012),the speed of IPO has been accelerated significantly in recent years,and the financing problems of listed companies have been solved,but it also has brought tremendous pressure on the secondary market.On the one hand,many companies have experienced rapid decline in their performance after listing successfully.On the other hand,the pursuit of new shares by investors has led to the stock price being much higher than the actual value.After the market returns to rationality,the stock price collapse will cause serious losses to investors.At the same time,the existence of various aspects such as the supervision system and concept in the A-share market in China,the existence of a large number of retail investors,and the information asymmetry have led to a very serious speculative atmosphere in the Chinese A-share market.According to the Resset financial database,the annual turnover rate of China's A-share market reached up to 268.14% in 2017,while in US stocks it was only 116%.Based on the serious speculation in China's A-share market,this paper quantifies the speculative factors in the A-share market to judge the severity of speculation,and further studies the factors affecting the severity of the speculative atmosphere,and finally analyzes the corresponding investment strategy to deal with the speculation problem in the A-share market.After six factors of factorial empirical test and empirical study of six-factor model,it is found that in China's A-share market,market factors,scale factors,value factors,profit factors and speculative factors are very significant,of which market effects have the greatest influence.The speculative factor coefficient is significantly positive,indicating that the higher the turnover rate of the portfolio is,the higher the average rate of return is,which can reflect the serious speculative atmosphere in the Chinese A-share market.Although the profit factor is significant,its factor coefficient is negative,which is contrary to the more developed stock markets in Europe and America.The investment style factor is not significant,and it also shows that Chinese A-share market investors do not pay much attention to the long-term development of listed companies,and their transactions are mainly based on short-term profit expectations.Further,through empirical research on factors affecting speculative atmosphere,it is found that different market segments,different market capitalization scales and different stock prices can indeed affect the speculative atmosphere.Under different market segments,the average yield,yield/handover rate and speculative factor of the SZSE market are the largest,and the speculative effect is the largest.Under different market capitalization scales,the smaller the market value is,the higher the turnover rate is.The greater the speculative factor is,the more serious the speculative atmosphere is.Under different stock prices,the speculative atmosphere of the portfolio located in the [10.01,30.00] stock price range is the most serious,followed by the [60.01,+?)stock price range investment.Besides,the average yield of the portfolio with the highest stock price range([60.01,+?))is also the highest,and the higher the stock price range is,the greater the yield of the portfolio is,and the higher the yield/handover rate is.Finally,secondary market investors can make rational use of speculative factors and better choose investment targets to achieve greater returns.