证券市场星期五和股指期货到期日的日历效应研究

A Study on the Multi Calendar Effect of Friday and Expiration Day in the Securities Market

在我国资本市场沪深300股指期货正式推出和顺利运行的背景下,从证券市场的成交量、收益率、流动性和波动性等变量的差异显著性方面,采用Wilcoxon-Mann-Whitney非参数检验方法、带虚拟变量的自回归模型,以及双重差分模型实证研究证券市场的星期五效应、股指期货的到期日效应,以及由证券市场星期五效应和股指期货到期日效应叠加而成的双重日历效应。得到的结论是:从纯粹的星期五效应角度看,我国证券市场存在显著的收益率效应;从纯粹的到期日效应角度看,我国证券市场存在显著的流动性效应;从双重日历效应角度看,我国证券市场存在着显著的波动性效应。

Under the background of the CSI 300 stock index futures implement and operating, from the angle of the various such as trading volume, return, liquidity, and volatility, with the Wilcoxon - Mann - Whitney Nonparametric Test, autoregressive model with dummy variables, and difference in difference model, the Friday effect of securities market, the expiration day effect of stock index futures market, and the multi calendar effect of securities market are studied in this paper. The con- clusions are drawn as follows, the return effect is significant on the Fridays; the liquidity effect is significant on the expi- ration days; and the volatility effect is significant on the multi calendar days.