中国股票市场月份效应研究——基于行业视角  

Research on Month Effect of Chinese Stock Market——Based on Industry Perspective

作　　者：张信东 马光宇[2] Zhang Xindong;Ma Guangyu(Institute of Management and Decision,Shanxi university,Shanxi Taiyuan 030006;School of Economics and Management,Shanxi University,Shanxi Taiyuan 030006)

机构地区：[1]山西大学管理与决策研究所,山西太原030006 [2]山西大学经济与管理学院,山西太原030006

出　　处：《金融发展研究》2019年第6期51-59,共9页Journal Of Financial Development Research

基　　金：国家自然科学基金面上项目“市场微观结构、特质波动率异象与MAX效应”(71371113)

摘　　要：中国股票市场是否存在月份效应尚无定论,本文选取了2000年1月至2018年6月之间上证综指、深证综指和申银万国行业指数为研究样本,引入基于广义误差分布的EGARCH-M模型,从不同市场和不同行业两个方面对月份效应进行研究,最后运用滚动回归的方法对回归结果的稳健性进行检验。实证结果表明,中国股票市场存在显著的二月效应与六月效应。受行业因素的影响,不同行业股票的月份效应往往表现出一些行业特点。Whether there is a monthly effect in China's stock market is still inconclusive. This paper selects the Shanghai Composite Index, Shenzhen Composite Index and Shenyin Wanguo Industry Index from January 2000 to June 2018 as research samples,and introduces EGARCH-M model based on generalized error distribution. The model studies the effects of the month from two different markets and different industries. Finally,the method of rolling regression is used to test the robustness of the regression results. The empirical results show that there is a significant February effect and June effect in the Chinese market. Affected by industry factors,the monthly effects of stocks in different industries often show some industry characteristics.

关 键 词：月份效应 行业分类 GED-EGARCH-M模型 

分 类 号：F831[经济管理—金融学]