(3)Further study on the insider trading cases punished by CSRC shows there is a statistical significance for abnormal rate of return, cumulative abnormal returns and abnormal trading volumes before the public release of substantial information.
We select fifty companies with different scales from Shanghai stock market,after studying these companies'normal rate of return,real of return and abnormal rate of return from 2001,and we draw the conclusion that there existed size-effect in Shanghai stock market.
Some 250 sample companies from Shanghai Securities Exchange are investigated to study the relationship of their sizes and the normal rate of return,real rate of return and abnormal rate of return from the year 2000 to 2003. The results show that Shanghai stock market is similar to other stock markets of western countries with its small-firm effect , which means a contrary relation of firm's size with its rate of market return.
It is not only the analysis of market characteristics, but also the probing processs of investments strategies that can gain abnormal rate of return. It is also the basis whether investors choose active investment management or passive investment management.
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.
Size-efect in stock market means that small companies have higher rate of market return than large ones.The paper tries to test whether there is size-effect in Shanghai stock market as the mature stock markers.We select fifty companies with different scales from Shanghai stock market,after studying these companies'normal rate of return,real of return and abnormal rate of return from 2001,and we draw the conclusion that there existed size-effect in Shanghai stock market.
Some 250 sample companies from Shanghai Securities Exchange are investigated to study the relationship of their sizes and the normal rate of return,real rate of return and abnormal rate of return from the year 2000 to 2003. The results show that Shanghai stock market is similar to other stock markets of western countries with its small-firm effect , which means a contrary relation of firm's size with its rate of market return.