金融学院知识库

  创业板市场的建立对于我国证券市场具有深远的影响，创业板市场在其建立之后既对我国主板市场的功能起到了补充作用,更使我国资本市场的结构得到了进一步完善，同时理论界和实务界对创业板市场的认识和研究也在逐渐丰富。因此，运用成熟的资本市场资产定价理论体系分析和研究我国资本市场,探索其市场行为,揭示其定价机制,进而为投资者提供科学理性的决策依据,对促进我国资本市场的健康发展具有重要的理论和现实意义。

  因此，本文以中国创业板市场为主要研究对象，对我国创业板市场进行有效性分析和动量效应研究。研究包括以下两个部分的内容：

  第一部分是关于创业板市场的有效性研究，包括对相关理论和文献进行梳理，选择合适的实证模型，证明创业板市场有效性并且在实证过程中发现市值效应和规模效应的存在。在该部分，本文基于对国内外学者关于资产定价模型的研究文献的梳理，选择运用Fama-French五因素模型的分析方法，同时，借鉴了国内学者对其改进的思路对我国创业板市场2010年至2021年的数据进行实证研究，首先检验了Fama-French五因素模型对创业板市场的拟合程度；其次使用模型对我国创业板市场进行了有效性分析；最后得出如下结论：Fama-French五因素模型对创业板具有较好的解释性，可以用于对我国创业板市场的研究。研究表明，我国创业板市场处于半强式有效及以上的状态；同时，创业板市场中小规模市值的股票相对于大规模市值的股票更有可能取得较高的超额收益，这一现象与投资者青睐投资规模大的股票的传统观念存在冲突。

  第二部分则是对以上出现的现象进一步实证分析，使用动量效应的组合策略，对小市值股票取得高额收益的持续性做了进一步探索，并就小市值股票如何取得高额收益的原因进行了更深的分析，研究发现小市值股票在短期容易获得超额收益，但是随着时间的流逝这种优势会在短期内消失甚至出现反转，这种现象进一步说明了我国创业板市场股票价格可以在短期内对信息作出反应并消化信息，由此证明了我国创业板市场的有效性。

  本文的创新体现在以下方面：首先，本文利用国际上最新且最受认可的定价模型Fama-French五因素模型对创业板市场有效性进行了连续两年的跟踪研究，研究发现随着时间推移Fama-French五因素模型对我国创业板市场的有效性拟合度增强；其次，本文基于有效性研究还进一步探索了创业板市场的动量效应，针对创业板市场小市值股票总是获得超额收益的现象进行了较深入的研究，研究发现小市值股票的动量效应仅能在短期内维系并快速反转，在该研究中，创新性地使用了动量策略作为对该效应持续性的研究方法，该方法有较强的科学性、客观性和可靠性使得研究方法得到了简化；第三，出于创业板市场小市值规模股票容易获得较高收益这一现象对金融市场风险因素会产生影响的考量，本文对小市值效应进行了较为深入的研究，现有文献对于该方面的研究较少，因此本研究具有理论创新性。

  The establishment of Growth Enterprises Market (GEM) has a far-reaching impact on China's securities market. After its establishment, GEM not only complements the function of China's main board market, but also improves the structure of China's capital market. In view of the lack of systematic empirical research on the GEM market, it is of great theoretical and practical significance to analyze and study China's capital market using the mature capital market asset pricing theory system, to explore its market behavior, to reveal its pricing mechanism, and then to provide investors with scientific and rational decision-making basis, which has important theoretical and practical significance to promote the healthy development of China's capital market.

  Therefore, this paper takes China's GEM market as the main research object to conduct validity analysis and momentum effect research. The paper includes the following two parts:

  The first part is about the effectiveness of GEM market, including sorting out relevant theories and literature, selecting appropriate empirical model, validating the effectiveness of GEM market and discovering the existence of market value effect and scale effect in the empirical process. In this part, based on the review of domestic and foreign scholars' papers about the asset pricing model, this paper chooses to use the Fama-French five-factor model analysis method. At the same time, it makes an empirical study on the data of China's GEM market from 2010 to 2021 by referring to the advanced method of domestic scholars. Firstly, the fitting degree of fama-French five-factor model to GEM market is tested. Secondly, the model is used to analyze the validity of GEM market in China. Finally, the following conclusions are drawn: Fama-French five-factor model has a good interpretation of GEM and can be used for the study of GEM in China. The research shows that GEM market in China is in the state of weak type efficiency and above and stocks with small and medium-sized market capitalization are more likely to achieve higher excess returns than those with large market capitalization, which conflicts with the traditional concept that investors prefer to invest in stocks with large scale.

  The second part is to analyze the phenomenon empirically above further more. Using the portfolio strategy of momentum effect, this paper explores the sustainability of small market capitalization stocks to achieve high returns and analyzes the causes. The study finds that small capitalization stocks obtain excess returns easily in the short term, but with the passage of time, this advantage will disappear or even reverse. This phenomenon shows that the stock price of GEM in China can respond to and digest information in a short period of time, which validates the effectiveness of GEM in China.

  The innovation of this paper is reflected in the following aspects: Firstly, the Fama-French five-factor model, the latest and appreciated pricing model in the world, is used to track the effectiveness of GEM for two consecutive years. The result shows that with the passage of time, the Fama-French five-factor model has enhanced the fitness of GEM in China. Secondly, Based on the effectiveness research, this paper also explores the momentum effect of GEM, and makes an in-depth study on the phenomenon that small capitalization stocks always obtain excess returns in GEM. It is found that the momentum effect of small capitalization stocks can only be maintained and reversed rapidly in the short term. In this study, The momentum strategy is innovatively used as the research method of the persistence of the effect, which simplifies the content. These two financial models, which are more compatible with data, can exploit data exhaustive, making the results scientific, objective and reliable. Thirdly, this paper conducts in-depth research on the effect of small market capitalization out of the consideration that the phenomenon that small market capitalization obtains higher returns easily will be one of the risk factors in financial market. This paper is innovative because existing literature is rare.