The Empirical Study Of Low-price-stock Premium Effect In China's Stock Market

From the perspective of index,low-price stocks in ShenWan Style Index have better returns compared with high-price stocks index.From the perspective of individual stocks,low-price stocks are more likely to have 10-fold bull stocks.Our country securities market these vision seems to explain China's securities market,penny stock returns is higher than senior,namely the penny stock premium effect,but also the scholar thinks there exists in China's securities market price premium effect,all market vision above shows that the stock of the nominal price no correlation between high and low and stock returns.This paper selected the data of China's a-share market from 2009 to 2017 to study the penny share premium effect in China's securities market.Drew the following conclusions :(1)under the multiple regression analysis method,the penny share premium effect exists in China's securities market,main board market and gem market.(2)the sample stocks are grouped according to different prices.Low-price stocks have higher yields and lower risks than high-price stocks.(3)the increase in the size of individual investors and the proportion of cash dividends will enhance the low-price premium effect,and the increase in the margin financing system and institutional investors' shareholding ratio will weaken the low-price premium effect.The main structure of this paper is as follows:The first chapter is the introduction,which describes the research background and problems.The second chapter is a literature review.From the three perspectives of the existence,causes and factors affecting the strength of the effect.The third chapter is the test of the existence of the premium effect of penny stocks.This paper mainly take the Method of multiple regression analysis and price grouping.The fourth chapter is the research on factors affecting the strength of the premium effect of penny stocks.This paper proposes that the scale of individual investors,institutional shareholding ratio,margin financing system and cash dividend ratio will influence the strength of the premium effect of penny stocks.The fifth chapter is the conclusion,summarizes the research of this paper and provides the possible research direction.The main innovations of this paper are as follows :(1)The latest data are selected to enrich the domestic research on the existence of the premium effect of low-price stocks in the fine molecule market.(2)It enriches the factors that influence the strength of the premium effect of penny stocks.From the four perspectives of the size of individual investors,the shareholding ratio of institutional investors,the short selling mechanism of margin lending and short selling system,and the proportion of cash dividends of listed companies,this paper explores whether they strengthen or weaken the premium effect of penny stocks.