中国股票市场具有“节日效应”吗?  

Are There Holiday Effect in China′s Stock Market?

作　　者：陆磊[1] 刘思峰[1] 

机构地区：[1]南京航空航天大学经济管理学院,南京市210016

出　　处：《金融研究》2008年第2期127-139,共13页Journal of Financial Research

基　　金：国家自然科学基金(70473037)资助

摘　　要：本文以上证综合指数为例,用ARMA(1,1)-GARCH(1,1)模型就中国股市是否存在节日效应进行了研究,研究发现中国股市不仅有大多数国家股票市场所存在的节前效应,还有其所没有发现的节后效应。在具体分析每一节日后,发现元旦只有正的节前效应,春节和劳动节有正的节日效应(包括节前效应和节后效应),国庆节没有节日效应。在研究中国股市出现的节日效应与其它日历效应(周一效应、周五效应和一月效应)的关系后,发现在考虑了这些日历效应后,节日效应依然显著为正,这说明中国股市节日前后的异常收益并非由这些日历效应引起,而是由节日效应引起。This paper takes Shanghai Integrate Index as an example to research that if there has a holiday effect in stock market in China with the ARMA （ 1,1 ） - GARCH（ 1,1 ） model, and finds that Chinese stock market not only has the pre-holiday effect which exist in most other countries ,but also has the post-holiday effect which not exist in other countries. After analyzing every holiday, the authors find that there has a different result in different holiday ： New Year＇s Day only has positive pre-holiday effect, Spring Festival and Labor Day have the positive holiday effect（include pre-holiday effect and post-holiday effect） ,National Day hasn＇t any holiday effect. After researching the relation between the holiday effect with other calendar effect（ Monday Effect, Friday Effect and January Effect） ,the authors conclude that when we take these calendar effect into account, the holiday effect still is significance and positive, which shows that the anomaly return in pre-holiday and post holiday not for other calendar effect, hut for the holiday effect.

关 键 词：ARMA(1 1)-GARCH(1 1)模型 节日效应 收益率 

分 类 号：F832.51[经济管理—金融学] F224