基于上证综指的节日效应实证研究

发布时间：2018-05-01 15:09

本文选题：股票市场 + 节日效应　；参考：《技术经济与管理研究》2014年06期

【摘要】：传统金融理论是在理性人假说和有效市场假说的基础上建立起来的,但近年来越来越多市场异象的存在使传统金融理论的地位受到质疑。作为市场异象之一,节日效应近年来倍加受到研究者们的重视。文章以上证综指日收益数据为研究对象,使用引入虚拟变量的ARMA-GARCH-GED模型,考察在1999年12月30日-2013年1月4日期间,股指收益率是否存在显著的节日效应,并对可能影响结果的星期效应进行了检验。结果表明:总体检验中,沪市存在显著的节前效应和节后效应;分节日检验中,元旦节不存在显著的节前效应和节后效应;春节存在显著的节前效应和节后效应,且节前效应更为显著;劳动节存在显著的节前效应和节后效应,且节后效应比节前效应更显著;国庆节仅存在显著的节前效应;在考虑了星期效应之后,节日效应依然显著存在。
[Abstract]:The traditional financial theory is based on the rational man hypothesis and the efficient market hypothesis, but in recent years, more and more market anomalies have challenged the position of the traditional financial theory. As one of the market anomalies, holiday effect has been paid more and more attention by researchers in recent years. Taking the daily income data of Shanghai Composite Index as the research object, using the ARMA-GARCH-GED model with virtual variables, this paper investigates whether the stock index yield has significant holiday effect during the period from December 30, 1999 to January 4, 2013. The week effect that may affect the result is tested. The results showed that there were significant pre- and post-festival effects in Shanghai stock market, no significant pre- and post-festival effects in New Year's Day section, and significant pre- and post-festival effects in Spring Festival. International Labour Day has significant pre-ganglionic effect and postganglionic effect, and post-ganglion effect is more significant than pre-ganglion effect, National Day only has significant pre-ganglionic effect, after considering the week effect, The holiday effect still exists.
【作者单位】：南京理工大学经济管理学院;
【基金】：教育部人文社会科学基金项目资助(10YJA630031)
【分类号】：F832.51;F224

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