IDEAS home Printed from https://ideas.repec.org/a/wsi/jicepx/v10y2019i03ns1793993319500169.html
   My bibliography  Save this article

The Three-factor Model and China’s Multiple Stock Markets

Author

Listed:
  • Shi-Zhuan Han

    (School of Economics and Management, East China Jiaotong University, Nanchang, P. R. China)

  • Li Zhang

    (School of Economics and Management, East China Jiaotong University, Nanchang, P. R. China)

  • Guang-Yu Han

    (School of Economics and Management, East China Jiaotong University, Nanchang, P. R. China)

  • Lei Wang

    (School of Economics and Management, East China Jiaotong University, Nanchang, P. R. China)

Abstract

This paper aims at discussing the applicability of the three-factor model in China’s multiple security markets. The monthly returns of Shenzhen Main Board Market, Shanghai Stock Market, GEM Securities Market and Small and Medium Board Securities Market from January 2012 to December 2016 are selected as samples. The following conclusions are drawn: the three-factor model is applicable in Shenzhen Main Board Market, that is, the change of stock return is proportional to market factor, book-to-market ratio factor, and inversely proportional to scale factor. Moreover, in terms of the explanatory power of the change of stock return, the market factor is the highest, the scale factor is the second, and the book-to-market ratio factor is the lowest. But in the other three markets, the two-factors model that excludes the ratio of book market value can explain the change of stock return better. In addition, the explanatory power of market factor is better than scale factor.

Suggested Citation

  • Shi-Zhuan Han & Li Zhang & Guang-Yu Han & Lei Wang, 2019. "The Three-factor Model and China’s Multiple Stock Markets," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 10(03), pages 1-16, October.
    • Handle: RePEc:wsi:jicepx:v:10:y:2019:i:03:n:s1793993319500169
    DOI: 10.1142/S1793993319500169
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S1793993319500169
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S1793993319500169?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:jicepx:v:10:y:2019:i:03:n:s1793993319500169. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/jicep/jicep.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.