我国A股市场的春节效应检验  

A Test of the Spring Festival Effect in China’s A-share Market

作　　者：余富 YU Fu(School of Economics,Guizhou University,Guiyang 550025,China)

机构地区：[1]贵州大学经济学院,贵阳550025

出　　处：《经济研究导刊》2022年第14期122-125,共4页Economic Research Guide

摘　　要：自上交所成立以来,股票市场的各种异象就备受学者关注。为了研究春节期间常常能让投资者获得超额收益率这一异象,使用上证综合指数2000—2021年的日收益率数据作为样本,首先对收益率进行了统计性描述,然后通过基于GARCH模型的方法对中国A股市场的春节效应做实证检验,结果显示,A股市场不仅存在春节前效应,也存在春节后效应。最后,从行为金融学视角出发,对A股市场产生春节效应的原因进行分析总结。Since the establishment of the Shanghai Stock Exchange, various anomalies in the stock market have attracted attention from scholars. In order to study the anomaly that investors can often obtain excess returns during the Spring Festival, this study uses the daily return data of the Shanghai Composite Index from 2000 to 2021 as a sample. First, the return is statistically described, and then based on The method of the GARCH model is an empirical test of the Spring Festival effect in China’s A-share market. The results all show that there is not only a pre-Spring Festival effect, but also a post-Spring Festival effect in the A-share market. Finally, from the perspective of behavioral finance,the reasons for the Spring Festival effect in the A-share market are analyzed and summarized.

关 键 词：春节效应 上证指数 GARCH模型 波动聚集性 

分 类 号：F830.91[经济管理—金融学]