我国A股市场不同公司规模的季节效应研究

发布时间：2018-01-08 13:34

本文关键词：我国A股市场不同公司规模的季节效应研究　出处：《湖南大学》2012年硕士论文　论文类型：学位论文

【摘要】：1970年，Fama首次定义了有效市场的概念，他指出在有效市场中，无论选择哪种证券或证券组合，证券投资者均只能获取与该证券或证券组合投资风险相当的正常收益率，而不能获得超额收益。最近几十年来，对证券市场收益率异象的研究己经成为对市场有效性研究的重点，而收益率的季节效应和规模效应是其中两个重要的市场异象。季节效应是指与季节相联系的股票市场非正常收益，包括了季度，月历，周历等。规模效应是指股票投资收益率随公司相对规模的上升而下降,尤其是市值较小的公司股票投资收益率超过市场平均水平的现象，又称为“小公司效应”。西方学者对这两个市场异象做了很深入的研究，也得到了很多结论，但以往的研究都较少考虑二者的关联性。本文从中国股票市场公司规模角度研究中国股市的季节效应问题，通过本文的研究可以进一步检验中国股票市场的规模性和季节性行为，也使我们能够更深入透彻地了解造成规模性和季节性运动的原因。与西方发达国家相比，中国的股票市场是一个新兴的市场，，因此中国股票市场的规模性和季节性行为可能与其他国家和地区不同，这也是本文的研究意义所在。本文从公司规模的角度重点研究我国A股市场的季节效应，选用沪、深两市2000年1月1日前上市的所有个股股票为研究样本，选取2000年1月4日至2011年12月31日为研究总样本期间。文章首先用DF和ADF检验对样本时间序列进行了单位根检验，发现所有样本序列均为平稳序列。然后，对它们进行ARCH-LM检验，发现日收益率不具有ARCH效应，而月收益率和季收益率具有明显的ARCH效应。根据检验的结果，本文采用GARCH模型对不同公司规模收益率的季节性效应和月历效应进行检验，得出我国A股市场存在一月效应和二月效应，而一月效应和二月效应的存在导致了春季效应；采用线性回归模型对不同公司规模的周历效应进行检验得出我国A股市场存在周一效应；同时本文引入规模溢价这一指标研究分析了规模效应和季节效应的关联性，并对各个实证结果给出了解释。最后对结论进行总结及提出进一步研究的重点。
[Abstract]:In 1970, Fama first defined the concept of efficient markets, pointing out that in efficient markets, whatever securities or portfolio is chosen. Investors in securities can only earn a normal rate of return comparable to the risk of a security or portfolio investment, rather than an excess return. The study of yield anomalies in securities market has become the focus of the research on market efficiency, and the seasonal effect and scale effect of yield are two important market anomalies. Seasonal effect refers to the abnormal return of the stock market associated with the season, including quarter, calendar, calendar, etc. The scale effect refers to the decline of the return on stock investment with the increase of the relative scale of the company. In particular, the phenomenon that the return on stock investment of market value's small company exceeds the market average is also called "small firm effect". Western scholars have made a very deep research on these two market anomalies, and got a lot of conclusions. However, previous studies have seldom considered the correlation between the two. This paper studies the seasonal effect of Chinese stock market from the perspective of company size in Chinese stock market. Through the research of this paper, we can further test the scale and seasonal behavior of Chinese stock market, and also make us understand the causes of scale and seasonal movement more thoroughly, compared with the western developed countries. China's stock market is a new market, so the scale and seasonal behavior of Chinese stock market may be different from other countries and regions, which is also the significance of this study. This paper focuses on the seasonal effect of A share market in China from the perspective of company size, and selects all stocks listed in Shanghai and Shenzhen stock markets before January 1st 2000 as the research samples. During the period from January 4th 2000 to December 31st 2011, the sample time series were tested with DF and ADF test. It is found that all the sample sequences are stationary sequences. Then, the ARCH-LM test shows that the daily return rate does not have the ARCH effect. The monthly rate of return and the quarterly rate of return have obvious ARCH effect. According to the results of the test, this paper uses the GARCH model to test the seasonal effect and calendar effect of the return on different companies. It is concluded that there are January effect and February effect in Chinese A-share market, while January effect and January effect lead to spring effect. Using the linear regression model to test the cycle calendar effect of different company size, we can find out that there exists Monday effect in the A-share market of our country. At the same time, this paper introduces the scale premium as an index to analyze the correlation between scale effect and seasonal effect, and gives an explanation of each empirical result. Finally, the conclusion is summarized and the key points of further research are put forward.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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