吉日凶日对股指收益影响的实证研究

发布时间：2018-04-11 18:37

本文选题：吉日凶日 + 投资者情绪　；参考：《东北财经大学》2012年硕士论文

【摘要】：近年来,许多研究发现非经济变量,如天气等,会影响投资者的情绪,进而对其投资决策产生影响。目前,国内外学者已针对天气状况、月运周期、季节性情绪失调(SAD)和体育赛事等非经济因素对股票收益的影响作出研究,并得出结论：上述因素对股票收益的影响是显著的。基于这样一个研究背景,本文结合了中国传统老黄历中所测算的日子因素,即,吉日和凶日,与股指数据,在剔除了假日效应、周末效应和宏观经济政策变动这三个控制变量的前提下,对吉日凶日与股指收益的关系进行研究。针对可能出现的研究结果,本文提出了3个研究假设。假设1：吉日凶日会对投资者情绪造成影响,从而对股指标准化日交易量造成显著影响。具体表现为,吉日时的股指标准化日交易量显著大于非吉日；凶日时的股指标准化日交易量显著小于非凶日。假设2：吉日凶日会对股指的换手率造成显著影响。具体表现为,吉日时的股指换手率显著大于非吉日；凶日时的股指换手率显著小于非凶日。假设3：吉日凶日会对股指日收益率造成显著影响。具体表现为,吉日时的股指日收益率显著低于非吉日；凶日时的股指日收益率显著高于非凶日。为了精确研究结果,本文首先分别对数据进行了平稳性检验和协整检验,检验结果表明本文采用的数据是平稳并支持协整的。然后,本文对股指收益这组数据进行单一指数回归,其目的是为了解吉日凶日能否解释股指收益提供一些启示。综合来看单一指数回归的结果,吉日凶日对股指收益的影响是不显著的。本文认为导致这种不显著的结果有两个原因,首先,考虑到各单一指数的股指日收益的波动性较大,这种波动幅度之大有可能淹没了吉日、凶日和非吉非凶日子下的各股指的日收益差,在这种情况下,期望各个指数都能得到显著的统计结果是不现实的。不仅如此,样本时间序列较短,从而导致样本容量的不足,也有可能导致个别回归结果不显著。但是,个别单一指数回归结果不显著并不能否认全部序列样本的合并数据回归的联合显著性。为了修正单一指数的回归结果,本文对面板数据进行回归,联合检验的结果表明,吉日时的股指标准化日交易量显著大于非吉日时的标准化日交易量；同时,凶日时的股指日收益率显著高于非凶日时的股指日收益率。本文的回归结果与先前提出的3个研究假设是部分一致的,但是,研究结果并没有完全解释研究假设。本文认为导致研究结果与研究假设不完全一致的原因有以下5个。第一,换手率这一财务数据对个股的针对性较强,而本文研究的股指是大盘股的综合指数,指数内的某只或者某几只个股高的换手率可能会被该只指数内其它个股低的换手率抵消,导致该股指换手率上下浮动的幅度很小。第二,吉日凶日只能对部分投资者的情绪造成影响,而不是全部投资者。第三,本文仅以港版黄历为依据,而市面上同时还流行这其它版本的黄历。第四,部分投资者对于吉日凶日的测算并不会仅仅参考黄历,而是把黄历上的吉凶与个人的生辰属相等个人因素相结合,针对这一类投资者,仅仅用黄历来作为测算当日是吉日还是凶日的标准会使研究结果产生偏差。第五,随着机构投资者持股比例的增加,投资者的情绪状态对股指收益率的影响也会减弱,从而减弱了吉日凶日对股指收益的影响。本文的学术贡献在于首次结合能够影响投资者情绪的吉日凶日因素和股票收益,研究吉日凶日对股票收益的影响,为进一步探索股票市场的变化规律和投资者的交易习惯,并为投资者从中获得套利机会提供可能。同时,本文也总结了3点不足之处。第一,苯文仅仅以港版的黄历为依据,并不能囊括市面上和网络上流行的所有版本的黄历。第二,受吉日凶日影响的投资者只占所有投资者的一定比例,且这个比例是不确定的。第三,大多数学者的研究所选取的样本数据的频率大多以月和日为主,在以后的研究中,可以缩小样本数据的频率,如,可以使用小时资料,甚至分钟资料等高频率数据进行分析,以进一步探索股票市场的变化规律和投资者的交易习惯。
[Abstract]:In recent years, many studies have found that non economic variables, such as weather, will affect investor sentiment, and the investment decision-making influence. At present, domestic and foreign scholars have according to the weather conditions, the lunar cycle, seasonal affective disorder (SAD) and sports events and other non economic factors on stock returns to study, and draws a conclusion that the impact of these factors on stock returns are significant. Based on such a research background, this paper combines the traditional measure of China days of the laohuangli factors, namely, lucky and unlucky days, and the stock index data, in the holiday effect removed, weekend effect and macroeconomic policy changes the premise of three control variables, to study the relationship between the day blackday and stock return.
According to the results of the study may occur, this paper proposes 3 hypotheses. Hypothesis 1: this fierce day will affect investor sentiment on stock index, thus standardized daily trading volume has a significant impact. For example, when the stock index standard day daily trading volume was significantly higher than that of non auspicious day stock index standard; fierce day trading volume was significantly smaller than blackday. Hypothesis 2: this will be fierce day on the stock exchange rate has a significant impact. The specific performance of the stock exchange rate, this was significantly higher than that of non day; when the stock turnover rate blackday was significantly smaller than blackday. Hypothesis 3: day blackday will have a significant impact the stock daily return. Specifically, the auspicious stock indices yield was significantly lower than that of non auspicious; fierce day the stock daily return is significantly higher than that in the fierce day.
In order to accurately study results, this paper was made on the data stationarity test and cointegration test, the test results show that the data used in this paper is stable and support cointegration. Then, the single index of stock index returns this set of data regression, its purpose is to understand this can provide some inspiration to explain blackday stock returns. The whole single index regression results of the stock return day blackday influence is not significant. This paper holds that the two reasons, the result is not significant. First, taking into account the income shares of each single index index fluctuated obviously, such large fluctuations may have drowned on the return of each day the stock index blackday and non Kyrgyzstan evil days under the non poor, in this case, each index can expect results is not realistic to get significant statistics. Moreover, the short time sequence sample, Which leads to insufficient sample size, may also lead to the individual regression results are not significant. However, the individual single index regression results combined with significant consolidated data is not significant and can not deny all the samples. In order to return the regression results correct a single index, based on the panel data regression, combined with the results of test show that this time the stock index standard daily trading volume was significantly higher than that of non auspicious days standard daily trading volume; at the same time, the stock index day blackday yield was significantly higher than that of non income stock indices blackday rate at.
The regression results with previously proposed 3 hypotheses are partly consistent, but the results did not fully explain the research hypothesis. This paper holds that the reasons and research hypotheses are not completely consistent with the results of the following 5. First, the exchange rate of this financial data on stocks of highly targeted, and the study on the stock index is a comprehensive index of the stock market index, in one or a few stocks high turnover rate may be the only index in other stocks with low turnover rate offset, resulting in the stock exchange rate fluctuate slightly. Second, only part of the day blackday investor sentiment the impact, but not all investors. Third, this article only to the Hong Kong version of history as the basis, and the market is also popular in other versions of this Almanac. Fourth, some investors for the lucky day blackday estimates not only refer to yellow The calendar, but the combination of good and bad and the birthday of the zodiac personal almanac and other personal factors, for this class of investors, just as the day is auspicious almanac estimates or blackday standard will lead to wrong results. Fifth, with the increase of the proportion of institutional investors, investor sentiment impact on Stock Returns the rate will be reduced, thereby weakening the day on the return of stock index fierce impact.
The academic contribution of this thesis is the first to combine the impact of investor sentiment on stock returns and fierce auspicious factors, influence of auspicious fierce day on stock returns, the change rule and investors to further explore the stock market trading habits, it is possible for investors to obtain arbitrage opportunities from it. At the same time, this paper also sums up 3 points shortcomings. First, the Hong Kong version only to benzene almanac as the basis, and not all versions of popular on the market and on the Internet. The almanac second, by day blackday impact investors accounted for only a certain proportion of all investors, and this proportion is uncertain. Third sample data, most of the research scholars the selected frequency in most of the month and day, in future studies, can reduce the frequency of sample data, such as hours or even minutes can use data, data with high frequency data In order to further explore the changing rules of the stock market and the trading habits of the investors.

【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【相似文献】