中国股票市场上的“隔夜效应”和“午间效应”研究  

An Empirical Study on Overnight Effect and Noon Effect in China Stock Market

作　　者：刘红忠[1] 何文忠[1] 

机构地区：[1]复旦大学经济学院,上海200433

出　　处：《金融研究》2012年第2期155-167,共13页Journal of Financial Research

基　　金：国家自然科学基金(70671027);教育部人文社会科学规划项目(09YJC790044);复旦大学重点学科优秀博士生科研资助计划资助

摘　　要：我国目前关于非交易时期信息对股市影响的研究多集中在"周末效应"和"节日效应"上,而缺少对其他非交易时期的研究。针对这一现状,本文在定义了"午间效应"和"隔夜效应"之后,使用交叠样本法和ARMA—GARCH模型对深沪两市上的午间休市和晚间休市对股票收益率的影响进行了实证分析。研究发现:深沪两市均存在持续稳定的"隔夜效应";同时,在某些年份,两市存在显著的"午间效应",但这种效应不具有持续稳定的特性,而是随着样本期选择的不同而变化的特征。使用5分钟数据进行的抽样频率稳健性检验与上述结论基本一致,证明了本文结论具有较好的稳定性。For the time being, most of researches about the effect of non - trading period information on the stock market are concentrated on the ＂weekend effect＂ and ＂holiday effect＂, while being lack of other non - trading period. In this paper, we defines the ＂noon effect＂ and ＂overnight effect＂, then we use overlapping samples and ARMA - GARCH model to study the effect of afternoon break and evening break on the Shanghai and Shenzhen stock market respectively. Our study shows that there is a stable and significant ＂overnight effect＂ on both Shanghai and Shenzhen stock markets, and there is also significant ＂noon effect＂ in both two exchanges for some periods, but this effect does not have a sustainable and stable characteristics, which varied by samples of the different period.

关 键 词：隔夜效应 午间效应 交叠样本 

分 类 号：F224[经济管理—国民经济] F832.51