节日效应在中国股票市场的表现  

The Representation of Holiday Effect in China Stock Market

作　　者：陆磊[1] 刘思峰[1] 

机构地区：[1]南京航空航天大学,经济与管理学院,江苏南京210016

出　　处：《数理统计与管理》2008年第4期712-720,共9页Journal of Applied Statistics and Management

基　　金：国家自然科学基金项目(70473037)资助

摘　　要：本文利用上证综指和深证成指收益率数据和加权最小二乘法,就中国股票市场是否存在节日效应进行了研究,发现中国股票市场不仅有大多数国家所存在的节前效应,还有其所没有发现的节后效应,而且节后高收益伴随着较高的风险.在研究中国股票市场出现的节日效应与中国股票市场其它日历效应(周一效应、周五效应和一月效应)关系时,发现在控制了这些日历效应后,节日效应依然显著为正,说明中国的节日前后的异常收益并不是由这些日历效应引起。This paper wants to research that if there has a Holiday Effect in china stock market with the return data of Shanghai Composite Index and Shenzhen Component Index and the method of Weighted Least Square（WLS）, result shows that china 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, and the Post-holiday＇s higher return are followed with the higher risk. When we research the relation between the holiday effect with other calendar effect（ Monday Effect, Friday Effect and January Effect）, find that when we controls these calendar effect, the holiday effect still is positive and significance, shows that the anomaly return in pre-holiday and post holiday not for other calendar effect.

关 键 词：中国股票市场 节日效应 收益率 

分 类 号：O212[理学—概率论与数理统计]