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本文就中国股票市场是否存在显著的“月份效应”进行了系统实证分析。通过运用虚拟变量法对沪、深两市1995-2004年间等权重与流通市值加权日收益率进行研究,作者发现沪、深两市并不存在绝大多数工业国家和某些新兴股票市场所具有的“一月效应”和“二月效应”。但在样本期内,作者首次发现沪、深两市日均收益率存在显著为正的“三月效应”和显著为负的“十二月效应”。本研究表明在某种意义上,沪市相对深市具有较强的“三月效应”。深市相对沪市具有较强“十二月效应”。
This paper conducts a systematic empirical analysis of whether there is a significant “monthly effect” in China’s stock market. By using the method of virtual variables to study the weighted daily returns of Shanghai and Shenzhen in terms of weights and circulating market capitalization during 1995-2004, the author finds that Shanghai and Shenzhen do not exist in most industrial countries and some emerging stock markets The January Effect and the February Effect. However, for the first time in the sample period, the author found for the first time that the daily average returns of Shanghai and Shenzhen markets are significantly positive “March Effect” and significantly negative “December Effect”. This study shows that in a sense, the Shanghai stock market has relatively strong “March Effect”. Shenzhen relative Shanghai stock market has a stronger “December effect”.