中国证券市场的周期性异象检验

Seasonal Anomalies in Index Returns: Evidence from the Chinese Stock Markets

本文分析了6年多来中国证券市场大盘指数和基金指数的周内、月内及年内效应,并对其相互间的关联性进行了检验。实证表明,中国市场存在“周二周四”的周内效应;市场大盘指数2月份的收益率相对最高,基金指数在3月份、12月份的收益率较高,同时大盘指数和基金指数9月份的收益率都显著较低;各指数第三季度收益率相对最低;上半年收益率要高于下半年。联动性检验显示,周二、周四与月内的不同时段交互作用并不显著;周四与10月份对大部分市场大盘指数和基金指数有负的联动效应。

This paper examines the Chinese stock and fund market indices for recent evidence of seasonal anomaly, such as weekend effects, month of the year, week of the month effect and their interrelation. The results indicate that, there is day-of- the-week effect of the Tuesday and Thursday in Chinese stock market. The Tuesday returns or the Thursday returns have nothing to do with the time in a month. The earnings of the stock indices in February and fund market indices in March are rather higher through the whole year, and they are both lower in September. In addition, they are higher in the firs half year than in the second half-year for all the indexes. The interaction tests suggest that the returns of the Thursday in October are obviously lower. And the fund indices reach the different results too. Contrary to the stock market indices that always gains higher returns in January than in December, the fund indices are totally opposite.