证券市场月初效应检验及解释  

Analysis and Explanation of the Demonstration of Turn-Of-The-Month Effect in the Security Market

作　　者：马先南[1] 

机构地区：[1]宁波大学卫生职业技术学院,浙江宁波315100

出　　处：《宁波教育学院学报》2007年第4期51-53,共3页Journal of Ningbo Institute of Education

摘　　要：通过对我国证券市场实证分析,发现我国证券市场存在显著的正的月初效应,即每月的前6个交易日和上个月的最后一个交易日的平均收益率显著高于其他交易日的平均收益率。Turn-of-the-month effect in the security market means that the average rate of return between the first several trading days and the last trading is higher than that of the other trading days. Through the demonstration, we find there is a statistically notable and positive turn-of-the-month effect in the security market of our country. In China, the average rate of return between the first six trading days and the last trading is higher than that of the other trading days.

关 键 词：月初效应 收益率 GARCH模型 

分 类 号：F830.91[经济管理—金融学]