中国股票市场假期效应实证研究
发布时间：2018-11-04 17:34
【摘要】：中国股票市场作为一个新兴的市场,是否达到弱式有效市场一直是理论界研究的重要课题,由于在制度方面的特殊性及其特有的文化特征,使得中国股市具有与西方发达国家不尽相同的市场异象。对市场异象的研究有助于我们加深对经典金融理论的理解,且有助于提高对中国股市和投资者行为的认识。因此研究中国股市的有效性具有重大的理论价值和实践意义。 假期效应,即法定假期前后是否存在超额收益和波动率异常现象,包括假期前效应和假期后效应。本文研究以资本市场有效性理论、国内外研究文献的综述为理论基础,结合中国股票市场实际情况,利用2005年4月至2014年2月沪深300指数收益率数据,使用描述统计、包含虚拟变量的最小二乘法以及GARCH模型三种实证检验方法对中国股市假期效应的存在性和持续性进行了实证研究。结果发现：中国股市存在假期效应,不同假期的假期效应表现出不同的形式,春节、五一、十一假期具有较明显的假期前效应,元旦假期前效应不明显。春节假后,具有明显为负的异常收益率,十一假后具有较高异常的正收益率,而元旦、五一的假期后也表现出了高于普通交易日的收益率。
[Abstract]:As a new market, whether or not to achieve weak efficient market has been an important topic in the theoretical circle. Due to the particularity of system and its unique cultural characteristics, The Chinese stock market has different market vision with the western developed countries. The study of market anomalies helps us to deepen our understanding of classical financial theories and to improve our understanding of Chinese stock market and investor behavior. Therefore, the study of the effectiveness of the Chinese stock market has great theoretical value and practical significance. Holiday effect, that is, whether there are abnormal phenomena of excess return and volatility before and after statutory holiday, including pre-holiday effect and post-holiday effect. Based on the theory of capital market efficiency and the literature review at home and abroad, this paper uses the data of Shanghai and Shenzhen 300 index yield from April 2005 to February 2014 to use descriptive statistics, combining with the actual situation of Chinese stock market. The existence and persistence of the holiday effect in Chinese stock market are studied by using the least square method including virtual variables and the three empirical test methods of GARCH model. The results show that there is a holiday effect in Chinese stock market, and the holiday effect of different holidays shows different forms. The Spring Festival, May Day and National Day have obvious pre-holiday effect, while New Year's Day has no obvious pre-holiday effect. After the Spring Festival holiday, the abnormal rate of return is obviously negative, and after the eleventh holiday there is a higher abnormal positive rate of return, while New Year's Day, after the May Day holiday, also shows a higher rate of return than that of the ordinary trading day.
【学位授予单位】：西北大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51
本文编号：2310640
[Abstract]:As a new market, whether or not to achieve weak efficient market has been an important topic in the theoretical circle. Due to the particularity of system and its unique cultural characteristics, The Chinese stock market has different market vision with the western developed countries. The study of market anomalies helps us to deepen our understanding of classical financial theories and to improve our understanding of Chinese stock market and investor behavior. Therefore, the study of the effectiveness of the Chinese stock market has great theoretical value and practical significance. Holiday effect, that is, whether there are abnormal phenomena of excess return and volatility before and after statutory holiday, including pre-holiday effect and post-holiday effect. Based on the theory of capital market efficiency and the literature review at home and abroad, this paper uses the data of Shanghai and Shenzhen 300 index yield from April 2005 to February 2014 to use descriptive statistics, combining with the actual situation of Chinese stock market. The existence and persistence of the holiday effect in Chinese stock market are studied by using the least square method including virtual variables and the three empirical test methods of GARCH model. The results show that there is a holiday effect in Chinese stock market, and the holiday effect of different holidays shows different forms. The Spring Festival, May Day and National Day have obvious pre-holiday effect, while New Year's Day has no obvious pre-holiday effect. After the Spring Festival holiday, the abnormal rate of return is obviously negative, and after the eleventh holiday there is a higher abnormal positive rate of return, while New Year's Day, after the May Day holiday, also shows a higher rate of return than that of the ordinary trading day.
【学位授予单位】：西北大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51
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