不同股市行情下的星期效应研究——基于沪深股市的实证检验

Day-of-the-Week Effect under Ups and Downs in Stock Markets——Evidence from Shanghai and Shenzhen Stock Markets

本文基于我国股票市场中一波最长的熊市和牛市行情,运用GARCH模型研究不同行情下的星期效应。研究发现,整个样本区间内星期效应并不显著,但在熊市和牛市子样本中却分别存在明显的星期效应,具体表现:熊市行情下,最高收益率出现在周二,最低收益率出现在周一;牛市行情下,最高收益率出现在周一,最低收益率出现在周四,且结论具有显著性。因此,按行情对股票市场进行星期效应研究,可有效克服总体样本所得结论的模糊性。

Based on the longest wave of ups and downs in recent stock market, this paper uses the GARCH model to study the day-of-the-week effect. We find that in the whole sample the day-of-the-week effect is not significant, but under the sub-samples called bear market and bull market, the day-of-the-week effect is severely significant. Specifically, in bear market, the highest return rate is on Tuesday and the lowest is on Monday. However, under bull market, the highest is on Monday and the lowest is on Thursday. Therefore, the result of day-of-the-week effect under ups and downs can correct the whole sample＇s vague conclusion.