The Warning of the Listed Company According to the Market Quality Indexes

Xiangli LI, Shaorong SUN


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 countdown 100 listed companies were a class. The random extraction 100 listed companies were a class. The probability warning model of the market quality for the listed companies was established by the two types companies as categorical dependent variables and the price impacting index and the excess volatility rate as the independent variables that were selected among 11 market quality indexes by forward stepwise method. When the probability value was greater than 0.5, the market quality of the listed company will be warned. On the contrary, the listed company was excellent in the market quality. The accuracy rate of the model was 87.7%. 


Price impacting index; Excess volatility rate; Likelihood value; Forward stepwise method; Logistic regression model

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