中国股市季节效应的EGARCH-M研究

Seasonality Effect of Market Return in China′s Stock Market——An Asymmetric GARCH-ib-Mean Approach

利用沪深股市 A-股综合指数的 1316个交易日的收益率 ,研究沪深股市的季节效应。在 EGARCH- M模型的方差方程和收益方程中分别引入季节变量 ,得出的结论是沪深股市在星期五有明显的正的超额收益率 ,存在显著的周历效应 ,但是两市的月历效应不太明显 。

In this paper we use the return data of A-share indices to study the effect by employing the EGARCH-M models. After controlling the asymmetric GARCH-M properties, this research finds a strong day of the week effect in both A-share markets and possibly a January effect and Mark Twin effect, especially in Shanghai. As for the day of the week effect,this research finds that Monday and Thursday tend to have negative abnormal returns whereas Friday tends to have positive abnormal return, in which, the latter is more significant than the formal ones.