中国A股市场月份效应实证检验  

Monthly effect in the chinese stock markets

作　　者：蔡华[1] 

机构地区：[1]上海交通大学安泰管理学院,上海200030

出　　处：《天津理工大学学报》2006年第6期82-84,共3页Journal of Tianjin University of Technology

摘　　要：在有效市场的假设下,股票价格应该服从随机游走过程.但是,西方的大量研究证实了时间效应的存在.本文针对中国A股市场,对1995年至2005年间,沪市的收益率进行了“月份效应”的实证检验.通过检验发现中国A股市场并不存在大多数工业发达国家股票市场和其他某些新兴股票市场所普遍具有的“元月效应”;但是实证分析显示,沪深两市均存在显著的正的“3月效应”和负的“12月效应”.这些表明沪深两市在某种意义上都缺乏有效性.On the basis of efficient markets hypothesis, the stock price should follow Random Walk. But most researches of western countries showed the existence of ＂Monthly Effect＂. This study examines the ＂Monthly effect＂ in the Chinese stock markets from 1995 to 2005. For Shanghai stock markets, we find no evidence for a significant positive ＂January effect＂ which has been shown to be a persistent anomaly in most industrial stock markets and emerging stock markets. However, we find strong evidence that a significant positive ＂March effect＂ and negative ＂December effect＂ exists in Shanghai stock markets. Our findings may indicate inefficiency in Shanghai stock markets.

关 键 词：月份效应 随机游走 元月效应 

分 类 号：F830.91[经济管理—金融学]