基于上证综指的节日效应实证研究

Empirical Study on Holiday Effect based on the Shanghai Composite Index

传统金融理论是在理性人假说和有效市场假说的基础上建立起来的,但近年来越来越多市场异象的存在使传统金融理论的地位受到质疑。作为市场异象之一,节日效应近年来倍加受到研究者们的重视。文章以上证综指日收益数据为研究对象,使用引入虚拟变量的ARMA-GARCH-GED模型,考察在1999年12月30日-2013年1月4日期间,股指收益率是否存在显著的节日效应,并对可能影响结果的星期效应进行了检验。结果表明:总体检验中,沪市存在显著的节前效应和节后效应;分节日检验中,元旦节不存在显著的节前效应和节后效应;春节存在显著的节前效应和节后效应,且节前效应更为显著;劳动节存在显著的节前效应和节后效应,且节后效应比节前效应更显著;国庆节仅存在显著的节前效应;在考虑了星期效应之后,节日效应依然显著存在。

Traditional Financial Economic Theory is based on the rational man hypothesis and the efficient market hypothesis .However, more and more market anomaly has been proven, which challenge the efficient market hypothesis. As one of the market anomaly, the effect of holidays attaches many researchers＇ attention in recent years. Based on the Shanghai Composite Index daily returns data for the study, the ARMA-GARCH-GED model with virtual variables is established to investigate whether there is a significant holiday effect and other factors which have great influence on the outcomes. Additionally , the sample period is from December 30th, 1999 to January 4th, 2013. The results showed that： on the overall statistical test, the Shanghai stock market has significant pre-holiday effect and post-holiday effect. On the individual holiday statistical test , here was no significant holiday effect on the New Year＇s Day. The Spring Festival and Labor Day have pre-holiday effects and post-holiday effects significantly, and the pre-holiday effects are more significant. While the National Day only has significant pre-holiday effect. After considering the effect of the week, the outcomes remain significant.