文档介绍：中国股票市场日历效应实证研究
摘要
日历效应是指证券市场出现的在某一特定时间进行交易可以获得超额收益
率的现象,它的表现形式主要有星期效应和月份效应。
本文采用上海股票市场综合指数收益率作为样本数据, 对中国股票市场是否
为了进一步研究近年来星期效同时, 存在星期效应和月份效应进行了实证研究,
应和月份效应是否发生逆转以及股票市场涨跌行情下的效应, 本文在对所有样本
分段研究了不以股票综合指数收盘价的行情走势作为分段依据, 研究的基础上,
同时期星期效应和月份效应的表现形式, 考察中国股票市场的星期效应和月份效
近中国股票市场总体上存在周末效应和五月效应, 研究表明, 应是否发生逆转。
中国股票市场的有效性本文认为, 因此, 年来周末效应和五月效应发生了逆转。
得到提高,但尚未真正达到弱式有效阶段。
日历效应的存在揭示了我国股票市场在信息披露制度和市场参与者行为等
本文提出了提高我国股票市场效率的几针对这些问题, 方面还不够成熟和完善,
点建议。
关键词: 日历效应实证研究
收益率
Abstract
Calendar effects mean that market returns associate with the specific
transaction date in stock market, there’re two important forms: day of the week effects
and month of the year effectsDaily data from 1991 to 2004 is used for estimation on day of the week effects
and month of the year effects of stock Returns in China. In order to analysis whether
the calendar effects have conversed, the whole sample was divided into four parts
based on the closing quotation to analysis the day of the week effects and month of
the year effects in different periods. The conclusion is that there are weekend effect
and May effect of stock returns in China, reverses of calendar effects have happened
in recent years, so the efficiency of China’s stock market has improved, but it hasn’t
reach to the point of week form efficiencyThe existence of calendar effects reveals that there’re some problems in
information management and behavior of participants in China’s Stock Market, so
some advice is stated in the last part of the thesis to improve the efficiency of China’s
Stock Market
Keywords: Stock returns; Calendar effects; Empirical analysis
目录
1 绪论………………………………………………………………….1
研究意义和目的…………………………………………………………1
研究内容和结构…………………………………………………………2
研究方法和创新之处……………………………………………………2
2 日历效应的提出与理论综述…..…………………………………4
日历效应的提出…………………………………………………………4
日历效应理论综述……………………………………………………… 日历效应的理论解释…………………………………………………..12
3 中国股票市场星期效应的实证研究……………………………14
样本数据的选取…………………………………..……………………14