我国体育类上市公司股价存在月度效应吗——基于赛事关注的角度

Do the Share Prices of Chinese Sports Listed Companies Exist Monthly Effect?——Based on Race Concern

本文通过研究体育类上市公司的月度收益率特征发现:中目的体育产业上市公司的股票存在明显的正"二月效应"和"六月效应",以夏微弱的负"十月效应"。但是在控制赛事关注度的影响后,体育类上市公司的月度效应消失。这说明体育类上市公司的月度效应是由赛事关注导致的。通过梳理典型月份的赛程,我们发现在2月、6月的"三大球"比赛微量较多,而在10月份出现的赛事数量最少。这和赛事关注度的变化几乎保持一致。进而我们得出结论:重要赛事的举办频率会影响赛事关注度,进而正向影响体育类上市公司的收益率。此外,体育行业的股票的波动性并没有体现出月度效应,表明波动性在一年12个月中平均波动程度较为相近,我们据此提出相关的政策建议。

By researching on changes of stock prices of the listed corporations of Sports industry and the reasons behind them, it is quite meaningful for people to comprehend how the capital market operates and the relationship between capital market and real economy, as well as to induce growth of economy and development of Sports industry. This paper focus on the monthly re- turns of stocks of the listed corporations of Sports industry and finds that there are conspicuous positive February effect and June effect and weak negative October effect. However, the monthly effect reduces significantly after we introduce the variable indi- cating the degree to which people concern the important sports matches. We also find that in Februray and June, the number of important matches are in large number while in October the number is in the least number, congruent with the degree to which people concern the important sports matches. In conclusion, the frequency for hosting the important sports matches could affect the degree to which people concern the important sports matches, thus influencing the returns of stocks in this industry. In ad- dition, the stocks in this area don＇t display the monthly effect in volatility, indicating the volatility in each month is quite close. Based on the conclusions, we propose related suggestions.