我国创业板市场的星期效应  

Weekly Effect on the China's Growth Enterprise Market

作　　者：魏晓然 

机构地区：[1]安徽财经大学金融学院,安徽蚌埠233030

出　　处：《常州工学院学报》2016年第5期62-69,85,共9页Journal of Changzhou Institute of Technology

摘　　要：近年来,股票市场动荡发展,而创业板市场的出现揭开了"中国纳斯达克"的序幕,为我国中小企业提供了直接的融资渠道。采用2010年6月1日到2016年5月10的创业板指数收益率为样本,通过LS模型、ARCH模型、GARCH模型等实证方法研究创业板市场一星期内的收益率的变化或差异,即创业板市场的星期效应。星期效应是日历效应的一种,通常是指在金融市场中与一星期的某个交易日相关的非正常收益、非正常波动及其他非正常现象。结果表明:创业板市场存在显著的周三效应。基于此,提出了两点政策建议。While the development of Chinese stock market was in turmoil in recent years, China＇s growth enterprise market, known as Nasdaq in China, began to provide direct financing channels for small and medium-sized enterprises. By sampling index yields from June 1,2010 to May 10,2016 ,the yield differ- ence on the growth enterprise market within a week, namely, the weekly effect was studied by constructing a LS model, ARCH model, and GARCH model. Weekly effe, one of the calendar effects, refers to abnormal re- turns, fluctuations and other abnormalities associated with a particular trading day of the week on the finan- cial market. The results showed that there is a Wednesday effect on China＇s growth enterprise market. Sug- gestions were proposed based on the research results.

关 键 词：创业板市场 星期效应 自回归条件异方差模型 实证研究 

分 类 号：F830.91[经济管理—金融学]