股市周末效应实证研究——上证成份指数变动分析

Study on Weekend Effect of Stock Market——The Analysis of Shanghai Composition Index

周末效应是一种各国证券市场共有的异例现象。根据近三年来较明显的熊市行情,借助于Kolmogorov-Smirnov、K-W检验、M-W检验、Levene检验等非参数统计方法,分析发现上海股市存在“周二”效应。该效应的存在有如政策、股市趋势、公司治理和样本容量等各方面的因素。近年来,中国上海股市的周末效应的显著性有所下降,证明了投资者正在逐步趋向成熟和理性。

Weekend effect is a market anomaly phenomenon. This paper first introduces the conclusions and the usual methods of domestic and international research, then uses the latest data of shanghai stock market 180 index, selects the obvious bear market and finds it is probable that weekend effect exists in Shanghai stock market. Following it Kolmogorov test,Kruskal - Wallis test,Mann - Whitmey test and kevene test are used to analyze shanghai stock market . Conclusion is drawn that there is ＂Tuesday＂ effect, finally the paper analyzes the reasons of this effect and draws a conclusion that the significance of weekend effect is decreasing, proving the investors are getting more mature and more rational.