深圳股市日历效应的实证研究

商业研究

深圳股市日历效应的实证研究

谢世清，朱倩瑜

（北京大学经济学院，北京 100871）

收稿日期:2019-04-07 出版日期:2019-09-16
作者简介:谢世清(1965-)，男，湖北荆州人，北京大学经济学院副教授，博士生导师，研究方向：金融；朱倩瑜（1995-），女，浙江舟山人，北京大学经济学院研究生，研究方向：金融学。

An Empirical Study of the Calendar Effect of Shenzhen Stock Markets.

XIE Shi-qing, ZHU Qian-yu.

(School of Economics, Peking University, Beijing100871,China).

Received:2019-04-07 Online:2019-09-16

摘要/Abstract

摘要： 传统金融理论是基于有效市场理论和理性人假说提出的，而日历效应等市场异象构成了对传统金融理论极大的挑战。基于引入多种虚拟变量组合的EGARCH-M模型，本文利用1996年12月27日至2016年12月31日期间的深证综指日收盘价数据，考察深证综指对数收益率的日历效应（包括周内效应、月份效应、季节效应和节日效应）。研究结果表明：深市非有效，存在正周二效应和负周四效应；各月份超额收益率均不显著，一月份具有极高的波动性；深市一般有“春涨秋藏”的月份规律；深市在控制了周内效应后具有显著为正的节日效应：各节日具有显著节后效应，只有春节和清明节具有显著节前效应。

关键词: 日历效应, EGARCH-M模型, 杠杆效应

Abstract: Abstract：The traditional financial theory is based on the efficient market theory and the rational agent hypothesis, while market anomalies like Calendar Effect challenge market efficiency in the real stock market. Based on the EGARCH-M model with a variety of virtual variables, this paper uses Shenzhen Composite Index daily closing price data from December 27, 1996 to December 31, 2016, to investigate calendar effect of logarithmic return rate of Shenzhen Composite Index, including Week Effect, Month Effect, Seasonal Effect and Holiday Effect. The empirical result shows that Shenzhen stock market has positive effect on Tuesday and negative effect on Thursday;the rate of return has high volatility in January but all average daily excess returns in different mouths are neither significant;spring often sees the upward in stock trends, autumn with downwards;with Week Effect controlled, there exists significant positive effect for the holiday excess return in Shenzhen stock market;significant Post-holiday Effect exists in all holidays,while there exists Pre-holiday Effect only in Spring Festival and Qingming Festival.

Key words: Calendar Effect, EGARCH-M model, Leverage Effect

谢世清，朱倩瑜. 深圳股市日历效应的实证研究 [J]. 商业研究.

XIE Shi-qing, ZHU Qian-yu.. An Empirical Study of the Calendar Effect of Shenzhen Stock Markets. [J]. 商业研究.

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