[1]许伟河.我国股票市场日历效应再检验——来自于上证综指的经验证据[J].福建理工大学学报,2015,13(04):400-408.[doi:10.3969/j.issn.1672-4348.2015.04.019]
　Xu Weihe.Reexamination of the calendar effects of China Stock Market: The empirical data from Shanghai stock composite index[J].Journal of Fujian University of Technology;,2015,13(04):400-408.[doi:10.3969/j.issn.1672-4348.2015.04.019]
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我国股票市场日历效应再检验——来自于上证综指的经验证据 ()
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《福建理工大学学报》[ISSN:2097-3853/CN:35-1351/Z]

卷:
第13卷
期数:
2015年04期
页码:
400-408
栏目:
出版日期:
2015-08-25

文章信息/Info

Title:
Reexamination of the calendar effects of China Stock Market: The empirical data from Shanghai stock composite index
作者:
许伟河
中国人民银行福州中心支行
Author(s):
Xu Weihe
Fuzhou Central Branch, The People’s Bank of China
关键词:
日历效应;  滚动样本;  星期效应;  样本参与率
Keywords:
calendar effect;  rolling sample;  week effect;  sample participation rate
分类号:
F830.91
DOI:
10.3969/j.issn.1672-4348.2015.04.019
文献标志码:
A
摘要:
基于GARCH（1，1）-GED模型，运用滚动样本的方法，研究我国股票市场自2004年5月份以来以及股指期货推出以来的日历效应，并提出星期效应的样本参与率概念。研究结果具有较强的稳健性和直观性，尤其是运用星期效应的样本参与率方法能够直观给出影响星期效应的期间，具有较强的实证意义。上证指数单边上涨，存在显著为正的星期一效应，在股指期货推出后至2014年年底，不管滚动窗口长度如何，星期一、二、三效应均不显著，星期四效应为负且持续存在，尾端存在持续为正的星期五效应。此外月份效应持续时间较短，且除了在尾部存在显著为正9月份效应外，其余的11个月份在后期不存在月份效应。
Abstract:
Rolling sample tests were employed to investigate the calendar effects of China stock market starting from May 2004 and the introduction of stock index futures (SIFs) based on GARCH (1,1)-GED model. The concept of sample participation rate was utilized to intuitively show the period which affected the calendar effects. The Shanghai Stock Market had obvious positive Monday effect when the index rose unilaterally. Within the period from the introduction of SIFs to the end of December, 2014, the Monday, Tuesday and Wednesday had no significant effects in spite of the length of rolling window, while Tuesday had a negative and persisted week effect and Friday had a positive and persistent effect at the end of December, 2014. The results indicate that the month effect per-sisted shortly. Despite that September had a significantly positive month effect at the end of the period, the other 11 months had no month effects during the later periods.

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更新日期/Last Update: 2015-08-25