中国股市周末效应实证研究——基于上证指数、深证成指变动分析

发布时间：2018-02-09 05:46

  本文关键词： 周末效应 K-S检验 Mann-Whitney检验 周四效应　出处：《宜春学院学报》2016年08期 　论文类型：期刊论文

【摘要】：周末效应是各大股市不可忽视的现象,对有效市场假说研究作用显著,并得到各国学术界的广泛关注及讨论。本文以1990-2016年的沪深股票市场的历史数据为对象,首先利用描述统计和单样本K-S检验得出沪市指数日收益率不是正态分布的结论,随后采用Kruskal—Wallis检验证实了周末效应存在于沪深股市,之后利用Mann-Whitney检验得到了效应模式,最后采用方差齐性检验来对收益率方差进行分析,最终证明沪深股市分别存在"四、五"效应和"周四"效应,并依据近几年股市动态提出了导致周末效应产生的原因。
[Abstract]:Weekend effect is a phenomenon that can not be ignored in stock market. It plays an important role in the research of efficient market hypothesis, and has been widely concerned and discussed by the academic circles of various countries. This paper takes the historical data of Shanghai and Shenzhen stock markets from 1990 to 2016 as the object. First, by using descriptive statistics and single-sample K-S test, we draw the conclusion that the daily yield of Shanghai stock index is not normal distribution, then we use Kruskal-Wallis test to prove that the weekend effect exists in Shanghai and Shenzhen stock market, and then we use Mann-Whitney test to get the effect model. Finally, this paper analyzes the variance of yield by using the homogeneity test of variance, and finally proves that there are "four, five" and "Thursday" effects in Shanghai and Shenzhen stock markets, and puts forward the causes of weekend effect according to the stock market dynamics in recent years.
【作者单位】： 江西财经大学统计学院;
【分类号】：F832.51
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本文编号：1497218