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节假日效应是指股票的回报率在假期前后异常高于其他交易日的现象。目前在全球股票市场已发现了各种不同形式的节假日效应。文章重点研究我国最重要的传统节日春节前后A股市场是否存在异常的高收益,即是否存在春节效应。根据2006年6月7日~2015年10月30日上证指数的日收益率,并采用引入了虚拟变量的GARCH模型,发现沪市存在显著的春节效应,尤其是钢铁、运输服务、交通设施、有色、半导体、通信设备这几个板块。文章最后为投资者列举了一些实用的投资策略。
The holiday effect refers to the phenomenon that the return rate of stocks is abnormally higher than that of other trading days before and after the holidays. Various forms of holiday effects have been found in the global stock market. The article focuses on whether there is an abnormally high yield in the A-share market before and after the Spring Festival, the most important traditional festival in China, that is, whether there is a Spring Festival effect. According to the daily rate of return of the Shanghai Composite Index from June 7, 2006 to October 30, 2015 and using the GARCH model with dummy variables, we find that there are significant Spring Festival effects in the Shanghai stock market, especially steel, transportation services, transportation facilities, Non-ferrous, semiconductor, communications equipment these plates. Finally, the article lists some practical investment strategies for investors.