中国股票市场一月效应的实证研究

Empirical Study on January Effect of Chinese Stock Market

一月效应是从统计学角度分析股市走势的一种惯常现象,指一月份的回报率往往是"正数",而且会比其他月份为高;相反,十二月的股市回报率很多时候会呈现负值。在传统股市经验里,每逢踏入新一年的一月,股市总是涨的多,跌的少。中国市场是否存在一月效应,投资者能否利用一月效应来获得期望的收益,这些都是研究人员关注的课题。以1997—2007年沪深两市A股指数的日收益率为研究样本,对中国股市是否存在显著的一月效应进行实证研究,结论表明:相对于其他月份而言,中国股市不存在显著的一月效应。

January effect, a kind of usual phenomenon to statistically analyze the stock market movements, refers to the rate of return in January is often ＂positive＂ and is higher than that in other months. On the contrary, the rate of return of the market in December is always negative. According to the traditional experience of the stock market, the trend of the stock market tends to rise when January of each year is coming. Whether the January effect exists in china＇s market or not and whether the investors can use the January effect to obtain expected earnings have become concerned matters of the investors. Taking Shanghai and Shenzheng A shares day -index yield in 1997 -2007, this paper studies empirically the Chinese stock market to find whether there is a significant January effect. Conclusion is that significant January effect does not exist in China＇s stock market when compared to other months.