中国沪深股市的开盘效应与收盘效应  

Opening and closing effects of China’s stock market of Shanghai and Shenzhen

作　　者：蒋彧[1] 龚丽 JIANG Yu;GONG Li(School of Business,Nanjing University,Nanjing 210093,China)

机构地区：[1]南京大学商学院,南京210093

出　　处：《管理科学学报》2020年第5期76-88,共13页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71301072);教育部人文社会科学研究资助项目(17YJC79006)。

摘　　要：股票市场的日历效应历来受到学者和投资者的广泛关注,研究发现股市存在节日效应、月份效应与周内效应,但是针对日内效应的研究不多见.利用沪深股指2004年~2016年的高频数据,实证检验中国沪深股市是否存在日内效应,结果表明:中国沪深股市整体上存在开盘效应与收盘效应,但在牛市、熊市期间的表现形式存在差异,股指收益在牛市期间表现出正向开盘效应,在熊市期间表现出负向开盘效应,股指波动在熊市期间的开盘效应更为明显.基于滚动窗口法的进一步研究发现:股指收益开盘效应和收盘效应的变化领先于股指走势的变化,股指收益和波动的开盘效应或收盘效应存在一定程度的替代现象.研究有助于投资者合理地制定投资策略,对监管部门维护市场秩序具有一定的参考价值.The calendar effects of stock markets have attracted extensive attention from scholars and investors.Many studies have found the holiday effects,the month effects and the weekday effects of stock markets;however,few studies focus on the intraday effects.Using high frequency data of China’s stock index returns in2014-2016,this paper empirically examines the intraday effects of China’s stock market.Results indicate the overall existence of the opening and closing effects in China’s stock market.However,the opening and closing effects exhibit different performances between bear markets and bull markets.Stock index return has positive opening effects during bull markets and negative opening effects during bear markets,while the stock index volatility has more obvious opening and closing effects during bear markets than during bull markets.The study,using rolling windows,further shows that the changes in the opening and closing effects of stock index return occur earlier than stock index and that the opening or closing effects of stock index return and volatility exhibit the substitution to some extent.Our study can help investors to develop investment strategy more rationally and provide certain references for the regulation and maintenance of market order.

关 键 词：开盘效应 收盘效应 股指收益 股指波动 滚动窗口 

分 类 号：F830.9[经济管理—金融学]