基于行为金融学的股市假日效应理论及实证研究

发布时间：2018-04-30 18:01

本文选题：假口效应 + 日历效应　；参考：《复旦大学》2012年硕士论文

【摘要】：自20世纪90年代以来,我国的节假日经历了从双休日制度、到黄金周假期以及增加多个传统节假日的演变过程。根据行为金融学理论,投资者作为人的群体,存在着诸多非理性的行为,这使得股市受到群体性影响而表现出诸多异常现象。假日效应是金融市场异象的特殊表现形式,在股市中表现为节假日前后市场的异常波动。 2008年,我国对节假日进行了一次大的调整,将原本的“五一”黄金周拆散为多个小长假,淡化了黄金周的概念。这次调整距今已有四年,之前所表现出的“长假效应”是否依然显著?本文将结合行为金融学理论,分析假日效应的深层次原因,并对我国股市进行实证分析。本文首先应用EMD方法,验证我国股市存在假口效应；然后,应用GARCH模型,通过设置虚拟变量的方式,实证分析我国最近一次的节假日调整是否显著影响到节假日效应的显著性；最后,结合我国节假日的日历特征及行为金融学相关理论,分析我国金融市场节假日效应的特点及其深层次原因。实证研究表明,节假日效应在我国股票市场具有显著性。由于受到我国特有的文化风俗、社会经济以及人格心理的影响,各个节假日表现出了不同的特点,其中,假日前效应较为稳定,而假日后效应存在显著差异。
[Abstract]:Since the 1990s, the holidays in our country have experienced the evolution from the double weekend system to the Golden week holidays and the addition of many traditional holidays. According to behavioral finance theory, investors as a group of people, there are many irrational behavior, which makes the stock market by group influence and show a lot of abnormal phenomena. Holiday effect is a special form of financial market anomalies, which is characterized by abnormal market fluctuations before and after holidays in the stock market. In 2008, our country carried on a big adjustment to the holiday, took apart the original "May Day" golden week into several small long holidays, desalinated the concept of "Golden week". It has been four years since this adjustment. Is the "long vacation effect" still significant?. Based on the theory of behavioral finance, this paper analyzes the deep-seated reasons of holiday effect, and makes an empirical analysis of the stock market in China. This paper uses EMD method to verify the existence of false mouth effect in China's stock market, and then, by means of setting virtual variables, using GARCH model, empirically analyzes whether the latest holiday adjustment in China significantly affects the significance of holiday effect. Finally, based on the calendar characteristics of Chinese holidays and the related theories of behavioral finance, this paper analyzes the characteristics of holiday effect in Chinese financial market and its deep reasons. The empirical study shows that the holiday effect is significant in Chinese stock market. Due to the influence of Chinese unique cultural customs, social economy and personality psychology, different holidays show different characteristics. Among them, the pre-holiday effect is more stable, but the post-holiday effect is significantly different.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830;F224

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