中国证券市场指数的日历末效应分析  

The Calendar Effect of Some Market Indices in Chinese Stock Market

作　　者：吴启芳[1] 汪寿阳[1] 

机构地区：[1]中国科学院数学与系统科学研究院系统科学研究所,北京100080

出　　处：《管理评论》2004年第12期3-9,共7页Management Review

基　　金：国家自然科学创新研究群体基金资助项目(70221001);中国博士后基金资助项目(2003)

摘　　要：本文分别对中国证券市场上的大盘市场指数和基金指数近5年中年末/初,季末/初,月末/初交替的四个交易日的收益和波动检验日历末效应。实证结果表明:各指数年末、季末和月末的收益率都高于下一初期第一个交易日的;基金指数更是出现负收益水平。此外,各指数年初、季初和月初的日历效应更为显著,但基金指数与市场大盘指数的日历末收益规律不尽相同。This paper examines the calendar effect of the main market indices in Chinese stock market in recent five years. The market indices include the universal market indices and the fund indices while the calendar dates include four trading days chosen respectively at the turn of a year, a quarter and a month. The empirical results reveal that the returns of the last trading day at the end of a month, a quarter and a year are respectively higher than those of the next trading day. The fund indices even decrease to a negative area on the first trading day at those calendar dates. Furthermore, we prove that the indices at the first trading day of the calendar dates have a more noticeable calendar effect than those at the last trading days. But it should be mentioned that the results of the fund indices are not the same as those of the universal market indices in Chinese stock market.

关 键 词：基金 中国证券市场 交易日 收益 年末 大盘指数 市场指数 初期 中年 实证 

分 类 号：F832.5[经济管理—金融学]