摘要
运用虚拟变量回归的方法,利用1998年1月至2004年12月的上海股市257只股票数据,分不同样本期对上海股市流动性溢价现象的月份效应进行较为全面的分析和检验表明,流动性溢价现象的月份效应的存在依赖于样本期的选择,不同的样本期具有不同的结果。实证结果的最终结论是:在所研究的样本期,流动性溢价现象的月份效应存在但不稳定,这一异象的存在表明上海股市缺乏有效率。
According to dummy variable regressive method, making use of 257 stock datas during January 1998 to December 2004 in Shanghai stock market, this paper carries on the more overall analysis and examine on month effect about liquidity premium phenomenon from different sample periods. The thesis reaches some conclusions such as： the existence of the month effect about liquidity premium phenomenon depends on the choice of sample periods, the differ- ent sample periods have the different result.The end conclusion of the empirical result is：the month effect about liquidity premium phenomenon is existent but unsteady in sample periods. Our findings may indicate inefficiency in Shanghai stock market.
出处
《哈尔滨商业大学学报（社会科学版）》
2006年第5期18-20,共3页
Journal of Harbin University of Commerce:Social Science Edition
