Research on the Change of the SMB of the Medical Sector before and after the Epidemic

Yuehua Wu, Kaiqian Zhang, Jiehong Huang, Qisong Wang
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Abstract

This study confirms that the applicability of the Fama-French five-factor model in the Chinese market is related to the characteristics of the Chinese stock market, studies the factor differences between GEM and STB in China market and uses random forest algorithms to make predictions in different types of stock markets. It is concluded that SMB is the most significant in the Chinese market, GEM and STB has no significant difference. In addition, this work examines the change in returns of the pharmaceutical sector before and after the epidemic, perform time series analysis and independent sample mean test on the SMB size factor, then analyzes the policy reasons for the trend of the pharmaceutical sector and draw the conclusions that the epidemic has a negative effect on the SMB and the time trend has a positive effect on the SMB factor under the influence of controlling the epidemic.
疫情前后医疗行业中小企业变化研究
本研究证实了Fama-French五因素模型在中国市场的适用性与中国股票市场的特点有关,研究了创业板和STB在中国市场的因素差异,并使用随机森林算法对不同类型的股票市场进行预测。结果表明,中小企业在中国市场中表现最为显著,创业板和机顶板没有显著差异。此外,本文考察了疫情前后医药板块收益的变化,对中小企业规模因素进行了时间序列分析和独立样本均值检验,分析了医药板块走势的政策原因,得出在疫情控制的影响下,疫情对中小企业的影响为负,时间趋势对中小企业的影响为正的结论。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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