中国股市周末效应实证研究——基于上证指数、深证成指变动分析  

An Empirical Study of Weekend Effect in China's Stock Market:Based on Analysis of Shanghai and Shenzhen Composite Index Change

作　　者：曹玲娟[1] 陈园[1] 

机构地区：[1]江西财经大学统计学院,江西南昌330013

出　　处：《宜春学院学报》2016年第8期31-36,共6页Journal of Yichun University

摘　　要：周末效应是各大股市不可忽视的现象,对有效市场假说研究作用显著,并得到各国学术界的广泛关注及讨论。本文以1990-2016年的沪深股票市场的历史数据为对象,首先利用描述统计和单样本K-S检验得出沪市指数日收益率不是正态分布的结论,随后采用Kruskal—Wallis检验证实了周末效应存在于沪深股市,之后利用Mann-Whitney检验得到了效应模式,最后采用方差齐性检验来对收益率方差进行分析,最终证明沪深股市分别存在"四、五"效应和"周四"效应,并依据近几年股市动态提出了导致周末效应产生的原因。The major weekend effect is the phenomenon of stock market cannot be ignored, the research on the ef- ficient market hypothesis was significant, and gets the academic attention and discussion. Based on the history of the Shanghai and shenzhen stock market in 1990 -2016 data for an object, first by using descriptive statistics and K - S single sample inspection of the Shanghai index, yield is not a normal distribution, the conclusion, then US- ES the Kruskal- Wallis test confirmed that the weekend effect exist in Shanghai and shenzhen stock market, got effect after using the Mann - Whitney test mode, the f test is used to analyze the yield variance, ultimately proved respectively in Shanghai and shenzhen stock market＂ four or five＂ effect and ＂Thursday＂ effect, and on the basis of the stock market in recent years, the dynamic the cause of the weekend effect are put forward.

关 键 词：周末效应 K-S检验 Mann-Whitney检验 周四效应 

分 类 号：F830.91[经济管理—金融学]