中国创业板市场节日效应的实证分析  

China GEM holiday effect's demonstration analysis

作　　者：李林[1] 周航[1] 冉安平[1] 

机构地区：[1]重庆邮电大学经济管理学院,重庆400065

出　　处：《特区经济》2012年第9期69-71,共3页Special Zone Economy

摘　　要：本文回顾了创业板市场建立过程,以香港创业板与深市创业板的时间序列数据,首先进行了香港创业板(GEM001)和深市创业板指(399006)对数收益率的波动性刻画,验证其分别服从GARCH(1,1)和ARCH(1)模型,且拟合优度较好;然后采用虚拟变量回归的方法,对其节日效应进行了检验,结果发现:港股在元旦、五一、春节时具有较为显著的节日效应(节前效应和节后效应);深创业板在国庆时具有较为明显的节日效应,在元旦和五一具有节前效应。最后针对创业板市场的关键问题,提出看法和建议。This paper reviews the process of the gro-wth enterprise market,taking the Hongkong gem and the Shenzhen GEM time series data,firstly,the Hongkong gem（GEM001） and Shenzhen GEM means（399006） logarithmic return volatility was depicted,respectively to verify the GARCH（1,1） and ARCH（1） model,and then using goodness-of-fit is better;dummy variable regression method,the holiday effect is tested,it was found： Hong Kong stocks in the new year’s day,five one,when the Spring Festival has significant holiday effect（preganglionic and postganglionic effect effect）;deep do poineering work board during the National Day has obvious effect on New Year’s Day festival,and the five one has the pre-holiday effect.Finally,according to the key growth enterprise market,this paper puts forward the ideas and Suggestions.

关 键 词：创业板 节日效应 虚拟变量 GARCH效应 

分 类 号：F832.51[经济管理—金融学]