中国股市规模效应及成因研究被引量：12

A Causal Analysis of the Economy of Scale of Chinese Stock Market

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摘要基于横截面回归分析方法对中国股市1997年至2004年所有A股月收益率进行的逐月回归分析,结果发现在1997-2000年间存在显著的"规模效应,"但此后基本消失;通过分析不同规模组合以及同一规模组合在规模效应消失前后月换手率的变化,证实了过度投机是规模效应产生的主要原因,而小市值股票的超额收益是对因过度投机产生的噪音交易风险的补偿。

作者张强杨淑娥

机构地区西安交通大学管理学院上海对外贸易学院金融学院

出处《当代财经》 CSSCI 北大核心 2007年第8期55-58,共4页 Contemporary Finance and Economics

关键词规模效应月换手率噪音交易风险

分类号 F830.91 [经济管理—金融学]

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