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Appendix 1: Listed Securities in the Shanghai Stock Exchange (1990-2005, Year-End Figures

1

)

Year

Number of Listed Companies

Number of Listed Securities

2

Size of Issuance (100 million shares)

Market Capitalization (RMB 100 million)

1990 8 30 2.61 12.34

1991 8 46 2.72 29.43

1992 29 87 46.94 558.40

1993 106 190 235.54 2,206.20 1994 171 259 418.88 2,600.13 1995 188 258 560.66 2,525.66 1996 293 368 749.86 5,477.81 1997 383 467 975.37 9,218.06 1998 438 526 1,280.35 10,625.90 1999 484 576 1,580.15 14,580.47 2000 572 657 2,032.42 26,930.86 2001 646 744 3,164.44 27,590.56 2002 715 826 3,727.84 25,363.72 2003 780 914 4,170.39 29,804.92 2004 837 996 4,700.55 26,014.34 2005 834 1069 5,023.05 23,096.13

Notes:

1. Data source is copied from <<Shanghai Stock Exchange: Factor Book 2005>>

2. The number of securities listed includes the total number of listed stocks, corporate bonds, treasury

bonds, securities investment funds (includes all closed-end funds and open-end funds), and warrants

by the end of each year.

(2)

Appendix 2: Listed Securities in the Shenzhen Stock Exchange (1991-2005, Year-End Figures

1

)

Year

Number of Listed Companies

Number of Listed Securities

2

Size of Issuance (100 million shares)

Market Capitalization (RMB 100 million)

1991 6 7 3.57 79.76

1992 24 39 26.57 489.75

1993 77 105 122.06 1,335.32 1994 120 212 220.59 1,090.49 1995 135 192 267.39 948.62 1996 237 299 439.54 4,364.57 1997 362 429 795.86 8,311.17 1998 413 483 1,065.01 8,879.73 1999 463 540 1,328.70 11,890.70 2000 514 596 1,580.97 21,160.08 2001 508 598 1,673.91 15,931.64 2002 508 615 1,735.15 12,965.41 2003 505 627 1,827.54 12,652.79 2004 536 673 2,004.47 11,041.23 2005 544 708 2,133.65 9,334.15

Notes:

1. Data source is copied from <<Shenzhen Stock Exchange: Factor Book 2005>> and <<Shenzhen Stock Exchange: Factor Book 1998>>

2. The number of securities listed includes the total number of listed stocks, corporate bonds, treasury

bonds, securities investment funds (includes all closed-end fund and open-end funds), and warrants by

the end of each year.

(3)

Appendix 3: The Trends of (ACAR - ACAR ) in the Shanghai Stock Exchange with Different Portfolio Formation Periods (1993-2005, Fraction Size: 15%, 20%)

L, t W, t

T h e S h a n g h a i S t o c k E x c h a n g e

The Trends of (

ACAR

L,t

- ACAR

W,t) with Different Portfolio Formation Periods Length of the test period: 3 years (36 months)

Rm: an equally-weighted market return Fraction size: 15%

-0.05000 0.00000 0.05000 0.10000 0.15000 0.20000 0.25000 0.30000 0.35000 0.40000 0.45000 0.50000

1 4 7 10 13 16 19 22 25 28 31 34

Months after the portfolio formation period

ACARL-ACARW

Portfolio foramtion period:1 year starting in January

Portfolio formation period:1.5 years starting in January

Portfolio formation period:2 years starting in January

T h e S h a n g h a i S t o c k E x c h a n g e

The Trends of (

ACAR

L,t

- ACAR

W,t) with Different Portfolio Formation Periods Length of the test period: 3 years (36 months)

Rm: an equally-weighted market return Fraction size: 20%

-0.05000 0.00000 0.05000 0.10000 0.15000 0.20000 0.25000 0.30000 0.35000 0.40000 0.45000

1 4 7 10 13 16 19 22 25 28 31 34

Months after the portfolio formation period

ACARL-ACARW

Portfolio foramtion period:1 year starting in January

Portfolio formation period:1.5 years starting in January

Portfolio formation period:2 years starting in January

(4)

Appendix 4: The Trends of (ACAR - ACAR ) in the Shanghai Stock Exchange with Different Portfolio Formation Periods (1993-2005, Fraction Size: 25%, 30%)

L, t W, t

T h e S h a n g h a i S t o c k E x c h a n g e

The Trends of (

ACAR

L,t

- ACAR

W,t) with Different Portfolio Formation Periods Length of the test period: 3 years (36 months)

Rm: an equally-weighted market return Fraction size: 25%

-0.05000 0.00000 0.05000 0.10000 0.15000 0.20000 0.25000 0.30000 0.35000 0.40000

1 4 7 10 13 16 19 22 25 28 31 34

Months after the portfolio formation period

ACARL-ACARW

Portfolio foramtion period:1 year starting in January

Portfolio formation period:1.5 years starting in January

Portfolio formation period:2 years starting in January

T h e S h a n g h a i S t o c k E x c h a n g e

The Trends of (

ACAR

L,t

- ACAR

W,t) with Different Portfolio Formation Periods Length of the test period: 3 years (36 months)

Rm: an equally-weighted market return Fraction size: 30%

-0.05000 0.00000 0.05000 0.10000 0.15000 0.20000 0.25000 0.30000 0.35000

1 4 7 10 13 16 19 22 25 28 31 34

Months after the portfolio formation period

ACARL-ACARW

Portfolio foramtion period:1 year starting in January

Portfolio formation period:1.5 years starting in January

Portfolio formation period:2 years starting in January

(5)

Appendix 5: The Trends of (ACAR

L, t

- ACAR

W, t

) in the Shenzhen Stock Exchange with Different Portfolio Formation Periods (1994-2005, Fraction Size: 15%, 20%)

T h e S h e n z h e n S t o c k E x c h a n g e

The Trends of (

ACAR

L,t

- ACAR

W,t) with Different Portfolio Formation Periods Length of the test period: 3 years (36 months)

Rm: an equally-weighted market return Fraction size: 15%

-0.05000 0.00000 0.05000 0.10000 0.15000 0.20000 0.25000 0.30000 0.35000

1 4 7 10 13 16 19 22 25 28 31 34

Months after the portfolio formation period

ACARL-ACARW

Portfolio foramtion period:1 year starting in January

Portfolio formation period:1.5 years starting in January

Portfolio formation period:2 years starting in January

T h e S h e n z h e n S t o c k E x c h a n g e

The Trends of (

ACAR

L,t

- ACAR

W,t) with Different Portfolio Formation Periods Length of the test period: 3 years (36 months)

Rm: an equally-weighted market return Fraction size: 20%

-0.05000 0.00000 0.05000 0.10000 0.15000 0.20000 0.25000 0.30000

1 4 7 10 13 16 19 22 25 28 31 34

Months after the portfolio formation period

ACARL-ACARW

Portfolio foramtion period:1 year starting in January

Portfolio formation period:1.5 years starting in January

Portfolio formation period:2 years starting in January

(6)

Appendix 6: The Trends of (ACAR

L, t

- ACAR

W, t

) in the Shenzhen Stock Exchange with Different Portfolio Formation Periods (1994-2005, Fraction Size: 25%, 30%)

T h e S h e n z h e n S t o c k E x c h a n g e

The Trends of (

ACAR

L,t

- ACAR

W,t) with Different Portfolio Formation Periods Length of the test period: 3 years (36 months)

Rm: an equally-weighted market return Fraction size: 25%

-0.05000 0.00000 0.05000 0.10000 0.15000 0.20000 0.25000

1 4 7 10 13 16 19 22 25 28 31 34

Months after the portfolio formation period

ACARL-ACARW

Portfolio foramtion period:1 year starting in January

Portfolio formation period:1.5 years starting in January

Portfolio formation period:2 years starting in January

T h e S h e n z h e n S t o c k E x c h a n g e

The Trends of (

ACAR

L,t

- ACAR

W,t) with Different Portfolio Formation Periods Length of the test period: 3 years (36 months)

Rm: an equally-weighted market return Fraction size: 30%

-0.05000 0.00000 0.05000 0.10000 0.15000 0.20000 0.25000

1 4 7 10 13 16 19 22 25 28 31 34

Months after the portfolio formation period

ACARL-ACARW

Portfolio foramtion period:1 year starting in January

Portfolio formation period:1.5 years starting in January

Portfolio formation period:2 years starting in January

Referenties

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