The Discrimination Classification in the Listed Companies in Accordance with the Market Quality Indexes

Abstract

All listed companies in the Shanghai Stock Exchange in 2008 were ranked according to the total market capitalization, the revenue and the net profit. The top 100 listed companies and the countdown listed companies were selected. Then the random 100 listed companies were extracted. The two discrimination classification functions of the listed companies in accordance with the market quality indexes were established by the three types companies as categorical dependent variables and the price impacting index, the liquidity index, the large transaction costs and the excess volatility ratio as the independent variables that were selected among the 11 market quality indexes by the forward stepwise method. The accuracy rate of the discrimination classification functions of the listed companies was 77.74% through verifying by the original back substitution. The classification results were significant. Key words: The price impacting index; The liquidity index; The large transaction costs; The excess volatility ratio; The discrimination classification function