中国证券市场星期效应逐渐消失的经验证据

Empirical Studies of Weekend Effects' Disappearance in Chinese Security Markets

本文研究证实了中国证券市场在早期具有明显的星期五效应,而在星期一和星期二的收益普遍较低。结算制度和信息披露制度是造成我国股市早期星期效应的主要原因,在T+1交易制度下,星期五的高收益率是要补偿两天的资金成本和风险成本;而信息披露制度的变革导致星期效应的不同表现。然而,滚动样本检验和分年度检验发现从1997年开始中国证券市场星期效应消失。这说明了中国证券市场有效性在不断提高。

The paper uses rolling sample tests to investigate calendar effect in Chinese security market. We utilize GARCH model and identify the time varying nature of weekday effect. There are weekend effect at the early period and it was due to settlement and disclosure mechanism.Since 1997, day-of-the-week effect seems to disappear in Chinese market.