| 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. |
