A股市场小盘股投资策略的适用性分析

发布时间：2018-06-23 06:43

本文选题：证券市场 + 小盘股投资策略　；参考：《中南财经政法大学学报》2010年06期

【摘要】：随着股改的完成和股指期货的推出,尤其是创业板市场的建立,中国股票市场逐步走向规范,在此背景下研究小盘股投资策略的适用性问题具有重要的现实意义。本文利用β值计算超额收益率,比较小盘股组合和大盘股组合的超额收益率,用虚拟变量来代表规模因素,采用面板数据分析方法进行回归分析,验证创业板上市后小盘股投资策略是否适用于中国证券市场,研究发现创业板上市初期,小盘股投资策略在我国证券市场仍然适用,我国证券市场距离有效市场还有一段距离。
[Abstract]:With the completion of stock reform and the introduction of stock index futures, especially the establishment of the gem market, China's stock market is gradually moving towards standardization. Under this background, it is of great practical significance to study the applicability of small-cap stock investment strategy. In this paper, we use 尾 value to calculate the excess return rate, compare the excess return rate of small-cap stock portfolio and large-cap stock portfolio, use virtual variable to represent the scale factor, and use panel data analysis method to carry out regression analysis. This paper verifies whether the small-cap stock investment strategy is suitable for China's securities market after gem listing, and finds that in the early stage of gem listing, small-cap stock investment strategy is still applicable in China's securities market, and China's securities market is still some distance from the effective market.
【作者单位】：中南财经政法大学新华金融保险学院;
【分类号】：F832.51

【参考文献】