我国创业板市场的日历效应及影响因素研究

发布时间：2018-03-25 21:10

本文选题：创业板指数　切入点：月历效应　出处：《安徽财经大学》2017年硕士论文

【摘要】：创业板是孵化科技型、成长型企业的摇篮,以创业创新型企业为服务对象,着重鼓励具有自主创新能力的企业上市,是一个具有门槛低、风险大、监管严格等特点的股票市场。自2009年以来,由于政府政策的持续扶持,我国创业板发展迅速,成为促进我国经济发展与转型的重要动力,为我国建造创新型国家注入了新活力。10年的曲折准备,7年的逐步完善,我国创业板已受到社会各界越来越多的关注,很多国内外学者针对不同的问题对其展开研究,希望通过研究能够更多的了解和改善创业板市场,而对日历效应的研究便是其中之一。本文以现有研究为基础,选取2010年6月1日至2016年11月30日7年的我国创业板指数为数据样本,以交叠样本检验方法将样本分为3个区间,运用描述性统计、ARCH模型、GARCH模型、TGARCH模型、EGARCH模型、GARCH-M模型对我国创业板是否呈现日历效应这一市场异象进行实证检验。同时,根据上述检验结果,研究公司规模与日历效应的相关性和Fama-French三因子模型对月历效应和周内效应是否具有解释作用。研究结果表明:我国创业板指数收益率具有二月效应和周三、周五效应,并且绝大数公司的月历效应和周内效应都较为显著,只有少数小公司的月历效应和周内效应不太显著,即公司规模与月历效应、周内效应具有相关性。此外,Fama-French三因子中市场因子与规模因子对二月效应和周三、周五效应具有解释作用,账面市值比因子对其没有解释作用。同时,除少数几个公司的二月、周三、周五的超额收益不可被解释外,绝大数的公司的二月效应和周三、周五效应的超额收益都是可被解释,即Fama-French风险因子在很大程度上能够解释二月效应与周三、周五效应。我国创业板存在日历效应说明了股票市场的非有效性,在信息披露方面、投资者行为、交易机制等仍亟待改善。因此,本文针对研究结果提出完善我国创业板市场的几点建议,一方面投资者可以根据研究出来的月历效应和周内效应制定更为高效的投资计划,以获得预期的投资收益。另一方面政府也应该加强市场监管,细化信息披露制度,同时加强投资者对市场的了解程度,让我国创业板市场实现更有效的运行。
[Abstract]:The gem is the cradle of high-tech and growth-oriented enterprises. It focuses on encouraging enterprises with independent innovation ability to list on the market. It has a low threshold and a high risk. Since 2009, due to the continuous support of government policies, the gem of our country has developed rapidly, which has become an important driving force to promote the economic development and transformation of our country. After 10 years of zigzag preparation and 7 years of gradual improvement, China's gem has attracted more and more attention from all walks of life, and many scholars at home and abroad have studied it for different problems. I hope to understand and improve the gem market through the research, and the calendar effect is one of them. The gem index of China for 7 years from June 1, 2010 to November 30, 2016 is selected as the data sample, and the sample is divided into three regions by the overlapping sample test method. In this paper, the descriptive statistical arch model and the GARCH model / EGARCH model / GARCH-M model are used to test the market anomalies of whether the gem is calendar effect in China. At the same time, according to the above test results, This paper studies the correlation between company size and calendar effect and whether the Fama-French three-factor model can explain the calendar effect and intraweek effect. The results show that the return rate of gem has February effect and Wednesday Friday effect. And most of the company's calendar effect and week effect are more significant, only a few small companies' calendar effect and week effect is not significant, that is, the company size and calendar effect, In addition, market factors and scale factors in Fama-French three factors have an explanatory effect on February effect and Wednesday and Friday effect, but the book market value factor has no explanation for it. Meanwhile, with the exception of a few companies, February, The excess earnings on Wednesday and Friday cannot be explained. The February effect of most companies and the excess return on Wednesday and Friday effect can be explained, that is, the Fama-French risk factor can explain February effect and Wednesday effect to a large extent. Friday effect. The existence of calendar effect on gem in our country shows that the stock market is not effective. In the aspect of information disclosure, investors' behavior and trading mechanism still need to be improved urgently. Based on the research results, this paper puts forward some suggestions to improve the gem market in China. On the one hand, investors can make more efficient investment plans according to the calendar effect and the week effect. On the other hand, the government should strengthen the supervision of the market, refine the information disclosure system, at the same time, strengthen the investors' understanding of the market, so that the gem market of our country can operate more effectively.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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