本文選題：證券市場 + 小盤股投資策略��； 參考：《中南財(cái)經(jīng)政法大學(xué)學(xué)報(bào)》2010年06期

【摘要】：隨著股改的完成和股指期貨的推出,尤其是創(chuàng)業(yè)板市場的建立,中國股票市場逐步走向規(guī)范,在此背景下研究小盤股投資策略的適用性問題具有重要的現(xiàn)實(shí)意義。本文利用β值計(jì)算超額收益率,比較小盤股組合和大盤股組合的超額收益率,用虛擬變量來代表規(guī)模因素,采用面板數(shù)據(jù)分析方法進(jìn)行回歸分析,驗(yàn)證創(chuàng)業(yè)板上市后小盤股投資策略是否適用于中國證券市場,研究發(fā)現(xiàn)創(chuàng)業(yè)板上市初期,小盤股投資策略在我國證券市場仍然適用,我國證券市場距離有效市場還有一段距離。
[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.
【作者單位】： 中南財(cái)經(jīng)政法大學(xué)新華金融保險(xiǎn)學(xué)院;
【分類號(hào)】：F832.51

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本文編號(hào)：2056238