【摘要】 以往的实证研究已经证明“小盘股效应”的存在,但中小上市公司收益率波动性研究却较少。本文采用GRACH类模型,利用三个针对不同股本规模的指数对我国股市中小上市公司收益率波动进行了实证研究,研究显示中小上市公司收益率具有较高的波动性,文章对此进行了分析并提出一种对“小盘股效应”的新解释和相关政策建议。更多还原

【Abstract】 It is shown by previous empirical study that there is ″size premium puzzle″ in stock market,but the study of volatility of the listed SMEs is rare.This paper uses the GARCH model to investigate the volatility of the listed SMEs of China’s stock market,our empirical study uses three indexes of different stock scale.According to the research results,the volatility of the listed SMEs is significantly higher than that of the list big company.Furthermore,based on the theoretical analysis and empirical research,a new explanation to ″size premium puzzle″ and some valuable points of views are proposed.更多还原