中国股票市场异常下跌时期的日历效应分析  

Empirical Analysis of Calendar Effect of China's Stock Market in Abnormal Period

作　　者：张苏林[1] 王岩[2] 

机构地区：[1]重庆理工大学经济与贸易学院,重庆400050 [2]中国保险监督管理委员会陕西监管局统计研究处,西安710024

出　　处：《西部论坛》2010年第6期78-84,共7页West Forum

基　　金：重庆市教委人文社科项目(08JWSK209)"通过重庆上市公司信贷违约状况对当前股票价格合理性的研究"

摘　　要：利用Var方法界定出股票市场的异常时期后,可对股票市场异常下跌时期的日历效应进行分析。实证表明我国股票市场在异常下跌时期具有明显的"五月份效应"、"周初效应"和"周末效应"。"五月份效应"的产生与我国上市公司的会计信息披露时间以及经济政策的调整和公布时间有关,而"周初效应"和"周末效应"与大多数学者已证实的股票市场正常时期的周内效应是一致的。After using Var method to define abnormal period of stock market, the calendar effect in the abnormal period of stock market can be analyzed. Empirical research shows that China＇ s stock market in abnormal period has obvious May Effect, Initial Week Effect and Weekend Effect, May Effect is related to accounting information disclosure time of listed companies and publicizing time of economic policy adjustment, and Initial Week Effect and Weekend Effect are identical with Within Week Effect which has been proven by most scholars in normal period of stock market.

关 键 词：股票市场 异常下跌 日收益率 日历效应 月份效应 周内效应 

分 类 号：F224[经济管理—国民经济] F832.51