中国股票市场月份效应的实证研究被引量：11

An Empirical Study of Month Effects of Chinese Stock Market

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摘要本文将中国股票市场按发展成熟程度不同进行了两个时间阶段的划分,并运用带虚拟变量的GARCH(1,1)模型结合描述性统计结果对两个阶段进行比较研究。实证结果显示:第一阶段,由于中国证券市场的市场化程度低,沪市和深市均存在多月份效应;第二阶段,中国证券市场存在符合经济学解释且与国外一月份效应类似的年关效应和其中沪市表现为四月效应和十二月效应,深市表现为二月效应和十二月效应。由此可见,中国股票市场的月份效应是随着股市发展程度而变化的。 In this article, the time has been divided into two periods depended on the level of development in Chinese stock market, and the writer do comparative study on the two periods with virtual variables of the GARCH（ 1,1 ）model combined with descriptive statistics method. The result shows： In the first period, there are multiple month effects in Chinese stock market because of low marketization degree ; in the second period, there exists month effects which are similar to January effect in foreign stock market, it shows April, December in Shanghai stock market and February, December in Shenzhen stock market. This result indicates that month effect change depends on the development degree of Chinese stock market.

作者沈冰廖杰余函

机构地区西南大学经济管理学院

出处《财经问题研究》 CSSCI 北大核心 2014年第6期57-62,共6页 Research On Financial and Economic Issues

基金国家社会科学基金项目"我国证券市场内幕信息操纵的形成与预警研究"(13BJY174) 重庆市社会科学规划项目"中国股市内幕交易的形成机理与识别机制研究"(2012YBJJ028)

关键词虚拟变量 GARCH模型月份效应股票收益率市场有效性 virtual variables GARCH model month effect stock return market validity

分类号 F830.91 [经济管理—金融学]

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