A Comparison On Pervasive Factors Of Main Board And Growth Enterprise Market Of A-stock Market

With the continuous improvement of the regulatory system and market mechanism,the Growth Enterprise Market of Shenzhen Stock Exchange has developed rapidly since its establishment in 2009,the market scale has expanded significantly,and its liquidity has been continuously enhanced.As a powerful supplement to the main board of Shanghai and Shenzhen,the Growth Enterprise Market provides a good financing channel for small and medium-sized enterprises and high-tech enterprises that are difficult to list on the main board;In response to the question of whether there is a structural difference in risk pricing between the Growth Enterprise Market and the Main Board,previous domestic studies have mainly started from the existing multi-factor pricing model for verification,or improved the multi-factor pricing model by introducing new pricing factors.Comparison between markets.However,researches on the comparison of markets through statistical factor estimation methods are relatively rare.This article attempts to use the improved asymptotic principal component analysis to explore the similarities and differences in the pricing factors of the Shanghai and Shenzhen Main Board and the Growth Enterprise Market.Because there are many differences in the market performance and financial performance of listed companies in different parts of A-share markets,the analysis and research on the commonness and differences of pricing factors affecting different markets,to enhance the understanding of the A-share market,and to deepen the understanding of the stock market pricing mechanism,etc.,has certain theoretical and practical significance.The research in this paper selects a total of 96 months of market data and financial data for the Shanghai and Shenzhen Main Board and Growth Enterprise Market of the A-share market from January 2012 to December 2019 as sample data.Using the monthly earnings data of the stocks of listed companies,the paper divides the data of each market into a group every four years.Within each group,a multi-group factor analysis method is used to calculate the time period of the Shanghai and Shenzhen Main Board and Growth Enterprise Market.Pricing factors,use the information criterion to calculate the maximum amount of information to determine the number of factors in the two markets and finally determine the pricing factor.Then use two methods,canonical correlation analysis and matrix eigenvalue calculation,to determine the number of public pricing factors for the Shanghai and Shenzhen Main Board and Growth Enterprise Market.Finally,calculate market factor,market value factor,stock price market value ratio factor and momentum factor from sample data of the whole A-stock Market,and compare the obtained four factors with the public pricing factors obtained by multi-group factor analysis through typical correlation analysis to analyze the relationship between the two group of factors.