我国沪市节日效应的行业差异研究——基于GARCH模型

Empirical Study on Holiday Effect in Shanghai Stock Market:Based on GARCH Model

以上证行业板块股指为研究对象,利用ARMA-GARCH-GED模型考察了上证五大行业板块的股指收益率是否存在显著的节日效应,并对可能的影响因素进行了检验。结果表明:节日效应在五大行业板块的表现存在差异;除房地产行业板块外,工业、商业、公共事业、综合类板块均存在节前效应,而节后效应仅存在于工业和公用事业板块中。考虑节日效应与风险波动、其他日历效应的关系后,发现房地产板块的节前超额收益主要源自一月效应而非节日效应,工业和商业板块的节前效应还受周五效应的影响,而其节后效应则伴随着收益风险的增大。

This paper takes the stock index of five sectors in Shanghai A stock market as the example,and studies whether there exists the holiday effect in five sectors with the ARMA-GARCH-GED model,and tests the possible influencing factors.The empirical results show that the performance of holiday effect may vary in five sectors.The pre-holiday effect exists in these sectors except of real estate sector,and the post-holiday effect only exists in the sectors of industry and public utilities.After considering the relationship between holiday effect and other calendar effects,it finds out the excess profit of the real estate sector in pre-holiday is from January effect rather than pre-holiday effect,and the pre-hoiliday effect in industry sector and commerce sector is influenced by Friday effect partly,and the higher return from post-holiday is followed with the higher risk.