摘要
股票市场规模效应是指以股票市值为衡量标准的公司规模的大小和该股票的市场收益率之间呈相反的关系。文章研究的目的就是验证我国股票市场是否也和欧美股票市场一样存在规模效应。从上海股票市场随机抽取 60家规模各异的上市公司 ,对其 1 997— 1 999年三年来的实际收益率、正常收益率、异常收益率进行实证研究 。
Size effect in stock market means that small firms have higher rate of market return than large firms. The purpose of study is to test whether there is size effect in China as the mature stock market in Europe and America. We selected sixty firms from Shanghai stock market which had different scales. Through studying and calculating their normal rate of return, real rate of return and abnormal rate of return in three years, we can find that there was size effect in Shanghai stock market.
