| The size-effect in the stock market,which usually refers to a negative correlation between the average returns of stocks and the size of firms,is regarded as one of the financial market anomalies because it contradicts the basic conclusions of the capital asset pricing model and the efficient market hypothesis.Scholars have also conducted a lot of research on the performance of the size-effect of China’s stock market,but the samples selected are mostly before 2010 and the sample intervals are short.With the development of China’s stock market,especially the implementation of the registration system reform,it is necessary to conduct further research on the sizeeffect.This paper takes January 2000 to December 2020 as the sample study period,and selects Chinese A-share listed companies for the study.The stock pools are grouped into deciles by market capitalization size,focusing on the difference between the returns of the smallest and largest market capitalization portfolios.The existence of the size-effect was analyzed by regression analysis using CAPM and SVC threefactor model.In particular,this paper tests the existence of the size-effect in bull and bear market quotes.Besides,the impact of registration system reform on the sizeeffect is also tested by comparing the difference in the performance of the size-effect before and after the registration system reform policy was deepened(April 2015).The main findings of this paper are as follows: First,there is a significant sizeeffect during the complete sample period.Second,there is no significant size-effect in both bull and bear market quotes.Third,the size-effect existed before the registration system reform policy was deepened,and the size-effect disappeared after the registration system reform was deepened.This paper argues that the implementation of the registration system reform effectively reduces the shell value of small size companies in China’s stock market and improves the efficiency of stock pricing. |
PDF Full Text Request