上证指数收益率的月度效应研究——基于含虚拟变量的GARCH模型

Month Effect in Return of Shanghai Stock Market——Based on the GARCH Model Including Dummy Variables

股票市场中的月份效应,是违反市场有效性的异常现象之一,主要表现为某些月份的股票收益率显著高于或低于其他月份的收益率。本文主要研究上证股市的月度效应,以2005年至2014年间的有效交易日为样本日期,选取上证指数的收盘价,运用包含虚拟变量的GARCH模型来研究上证股市是否存在月度效应。通过实证研究表明,上证股市存在月度效应,即一年内一、二月的月平均收益率较高,六月份的月平均收益率较低。最后结合我国的实际情况给出上证股市收益率存在月度效应的原因。

The month effect in stock market refers to the abnormal phenomenon against market efficiency. It is supposed to appear when the stock returns of certain months are remarkably higher or lower than average. This paper analyses the month effect in Shanghai stock market using closing price of Shanghai stock index from 2004 to 2013 and GARCH model including dummy variables. The empirical result shows the existence of month effect in Shanghai stock market where stock returns in the first two months of a year are higher and that in June lower. Finally, some possible reasons of the month effect in Shanghai stock market are given.