沪市新兴行业成长股假日效应研究  

Research on Holiday Effect of Emerging Industry Growth Stocks in Shanghai Stock Market

作　　者：李纲要[1] LI Gangyao(Department of Economics and Management,Jining University,Qufu 273155,China)

机构地区：[1]济宁学院经济与管理系,山东曲阜273155

出　　处：《济宁学院学报》2018年第5期9-13,共5页Journal of Jining University

基　　金：2016年度济宁学院青年科研基金项目(2016QNSK09)

摘　　要：运用引入虚拟变量的回归模型分析方法,对代表沪市新兴行业成长股市场表现的上证380指数的实证研究表明,其假日效应整体上并不显著,只有在五天及以上的较长假期时,节后的第二个交易日存在显著为正的假日效应。从研究结论来看,对于沪市新兴行业成长股而言我国股市整体上较为有效,其对"假期"本身及假期内发布的信息反映效率较高,投资者不能据此获得超额收益;但一般情况下短线投资者可在假期前或后第1个交易日买入上证380指数概念股,假期后的第2个交易日卖出,获得超额收益。By the Regression Model Analysis method of introducing the dummy variable, doing empirical study on the 380 Index of Shanghai Stock Exchange,which represents the emerging industry growth stocks in Shang- hai Stock Exchange, shows that the holiday effect of it as a whole is not significant. Only when the holidays are longer than five days, there is a significant positive holiday effect on the second trading day after the holidays. From the conclusion of the study, China＇ s stock market is more effective for the emerging industry growth stocks in Shanghai stock market. It is more efficient in reflecting the ＂ holiday＂ itself and the information re- leased during the holiday, so investors can not get excess retums accordingly ; but in general, short - temre inves- tors can buy the Shanghai Stock Exchange 380 index before or after the first trading day of the holiday, and sold on the second trading day after the holidays,to get excess retums.

关 键 词：新兴行业成长股 有效市场假说 市场异象 假日效应 

分 类 号：F832.5[经济管理—金融学]