我国沪深300指数日历效应实证研究
发布时间：2018-11-26 15:30
【摘要】：日历效应是指在证券市场中的某一特定时期,投资者通过交易可以获得超额收益的现象。作为市场异象之一,日历效应的存在对有效市场假说产生了挑战,为了证明日历效应的存在以及对其进行解释,众多学者对世界各国的金融市场进行了相关研究。 我国于2005年4月8日发布了沪深300指数,并于2010年4月16日,正式推出了以沪深300指数为标的的期货合约交易,该衍生产品的推出,将从根本上改变我国证券市场的现状,对于我国证券市场的完善和改革深化有着重要的意义。然而股指期货合约的交割对沪深300现货指数市场是否产生影响,沪深300指数是否也存在日历效应?这些问题影响着股票市场的稳定和投资者的收益。 本文采用沪深300指数收益率作为样本数据,运用计量统计方法对其是否存在周内效应和交割日效应进行了实证研究。为了进一步研究次贷危机后我国股票市场的有效性是否有所改善,本文在研究周内效应时,将总样本数据按不同的市场环境划分为三个区间,对各个区间分别实证检验并对结果进行了对比分析。研究结果表明：我国股市存在显著的周内效应,而在经历了次贷危机的洗礼后周内效应发生了逆转；我国沪深300指数并不存在显著的交割日效应。周内效应的存在以及发生的逆转,说明我国股票市场的有效性得到了改善,但还没有达到弱式有效阶段。 日历效应的存在揭示了我国股票市场在信息披露制度和市场参与者行为等方面还不够成熟和完善,针对这些问题,本文提出了提高我国股票市场效率的几点建议。
[Abstract]:Calendar effect refers to the phenomenon that investors can obtain excess returns through trading in a certain period in the stock market. As one of the market anomalies, the existence of calendar effect challenges the efficient market hypothesis. In order to prove the existence of calendar effect and explain it, many scholars have carried on the related research to the financial market of various countries in the world. China issued the CSI 300 index on April 8, 2005, and on April 16, 2010, formally launched the futures contract trading with CSI 300 index as its target. The launch of the derivative product will fundamentally change the current situation of the securities market in China. It is of great significance to improve and deepen the reform of China's securities market. However, whether the delivery of stock index futures contracts has an impact on the Shanghai and Shenzhen 300 spot index market, and whether there is a calendar effect in the Shanghai and Shenzhen 300 index? These problems affect the stability of the stock market and the return of investors. In this paper, the return rate of CSI 300 index is used as the sample data, and the econometric method is used to make an empirical study on the existence of intraweek effect and delivery day effect. In order to further study whether the effectiveness of China's stock market has been improved after the subprime mortgage crisis, this paper divides the total sample data into three intervals according to different market environment. The results are compared with each interval. The results show that: there is a significant intraweek effect in China's stock market, but after the baptism of the subprime mortgage crisis, the effect has been reversed, and there is no significant daily delivery effect in China's Shanghai and Shenzhen 300 index. The existence and reversal of the intraweek effect indicate that the efficiency of Chinese stock market has been improved, but it has not reached the weak effective stage. The existence of calendar effect reveals that the stock market in our country is not mature and perfect in the aspects of information disclosure system and market participants' behavior. In view of these problems, this paper puts forward some suggestions to improve the efficiency of our stock market.
【学位授予单位】：东华大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224
本文编号：2358945
[Abstract]:Calendar effect refers to the phenomenon that investors can obtain excess returns through trading in a certain period in the stock market. As one of the market anomalies, the existence of calendar effect challenges the efficient market hypothesis. In order to prove the existence of calendar effect and explain it, many scholars have carried on the related research to the financial market of various countries in the world. China issued the CSI 300 index on April 8, 2005, and on April 16, 2010, formally launched the futures contract trading with CSI 300 index as its target. The launch of the derivative product will fundamentally change the current situation of the securities market in China. It is of great significance to improve and deepen the reform of China's securities market. However, whether the delivery of stock index futures contracts has an impact on the Shanghai and Shenzhen 300 spot index market, and whether there is a calendar effect in the Shanghai and Shenzhen 300 index? These problems affect the stability of the stock market and the return of investors. In this paper, the return rate of CSI 300 index is used as the sample data, and the econometric method is used to make an empirical study on the existence of intraweek effect and delivery day effect. In order to further study whether the effectiveness of China's stock market has been improved after the subprime mortgage crisis, this paper divides the total sample data into three intervals according to different market environment. The results are compared with each interval. The results show that: there is a significant intraweek effect in China's stock market, but after the baptism of the subprime mortgage crisis, the effect has been reversed, and there is no significant daily delivery effect in China's Shanghai and Shenzhen 300 index. The existence and reversal of the intraweek effect indicate that the efficiency of Chinese stock market has been improved, but it has not reached the weak effective stage. The existence of calendar effect reveals that the stock market in our country is not mature and perfect in the aspects of information disclosure system and market participants' behavior. In view of these problems, this paper puts forward some suggestions to improve the efficiency of our stock market.
【学位授予单位】：东华大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224
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