股市周内效应研究

Study on the "Within the Week" Effect in Stock Market

将中国证券市场的数据按牛市和熊市进行划分,并分别对牛市、熊市和牛熊混合三种状态下的对数收益率数据计算描述性统计量,利用Kurskal-Wallis检验考察周内效应的存在性,并利用Mann-Whitney检验和Levene检验分别从收益率均值和波动率角度考察周内效应的模式,进一步对香港和欧美股市作了类似的分析。通过比较分析,发现对于中国股市的周内效应分析不同于以往学者的结论;从周内效应来看中国股市与其他国家或地区的股市也有着很大的差异,表明中国股市至今还不够成熟。

This paper differentiates the data of China＇ s stock market based on the bull market and the bear market, and calculates the descriptive statistics of the yield rate of logarithm in bull market, bear market and bull market along with bear market, and then makes use of the Kurskal - Wallis testing to examine the existence of ＂within the week＂ effect, the Mann - Whitney testing and the Levene testing to examine the mode of ＂within the week＂ effect in the light of the average value of yield rate and the fluctuation rate respectively. The paper then presents the further analysis of the stock market in Hong Kong, Europe and America. By comparison, we f＇ind that our conclusion on the ＂within the week＂ effect in China＇ s stock market is different from the previous ones drawn by the other scholars. A big difference exists between China＇ s stock market and the stock market in other countries from the standpoint of ＂within the week＂ effect, which shows that China＇ s stock market is not mature yet fill today.