중국 주식시장의 분할과 수익률 결정요인 = Chinese Stock Market Segmentation and Return Determining Factor

다국어 초록 (Multilingual Abstract)

As other stock markets of developing countries, the Government of China restrict the stock market. One of the major examples of the restrict is the Segmentation of Chinese stock market. The research analyzes the impact of the segmentation of Chinese stock market on returns of stocks. The executive summary of research analysis is as follows: First, according to the study to see whether the returns of each stocks market can be explained by market factors using CAPM-based single index model, all of 6 groups show statistical significance. That is to say, the exceeding returns in China’s stock market can be explained by market factors. Secondly, the result of the 3-factor model of Fama and French shows that both size factor and book value & market value factor do not have any statistical significance. Thirdly, the analysis of Carhart(1997)’ 4-factor model along with momentum factor proves that Shang Hai(No 1 group and No 2 group) is statistically significant within 5% of level of significance. However, in Shen Zhen market (No 3 group and No 4 group) there is no statistical significance. Among No 5 group and No 6 group who issue only B stock rather than A stock in Shang Hai and Shen Zhen, momentum factor has statistical significance as a result.

국문 초록 (Abstract)

중국의 주식시장은 다른 신흥국가의 주식시장에서 볼 수 있듯이 주식시장을 통제하고 있다. 이러한 통제 중 가장 대표적인 것이 중국 주식시장의 분할이다. 본 연구는 중국 주식시장의 분할에 따라 각각의 분할된 시장에서 나타나는 주식수익률 성과에 영향을 미치는 요인에 대하여 분석하고자 한다. 본 연구의 실증분석 결과를 요약하면 다음과 같다. 첫째, CAPM에 기초한 단일지수 모형을 이용하여 각 주식시장의 수익률을 시장요인으로 설명가능한지를 알아본 결과 6그룹 모두 통계적으로 유의한 결과가 나타남으로 중국 주식시장에서 초과수익률은 시장요인에 의해 충분히 설명된다는 것이다. 둘째, Fama와 French가 제안한 3요인 모형을 분석한 결과, 규모요인과 장부가치/시장가치 요인이 6그룹 모두에서 통계적으로 유의하지 않은 결과가 타나났다. 셋째, 모멘텀 요인을 추가한 Carhart(1997)의 4요인 모델을 검증 한 결과 모멘텀 요인은 상하이(1그룹과 2그룹)에서는 모두 5% 유의수준에서 유의하지만 선전 시장(3그룹과 4그룹)에서는 모두 통계적으로 유의하지 않은 결과가 나타나고 있다. 상하이와 선전에서 A주는 발행하지 않고 B주만 발행한 기업의 그룹인 제5그룹과 제6그룹의 결과를 보면 모멘텀 요인이 통계적으로 유의한 결과가 나타났다.

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