中国股票市场的月份效应研究

Study of Month Effect of Chinese Stock Market

选取1990年12月19日至2015年9月30日间上证综指的日收盘价和1991年4月3日至2015年9月30日深证成指的日收盘价作为样本数据.运用均值—方差等描述性统计和GARCH模型对我国股票市场的月份效益进行定量分析,结果得出上证交易市场存在收益率为正的"二月效应"与收益率为负的"七月效应",深圳交易市场存在收益为正的"二月效应".

Choosing closing price of Shanghai Composite Index from 1990 - 12 - 19 to 2015 -09 -30, and closing price of Shenzhen Composite Index from 1991 - 04 - 03 to 2015 - 09 - 30 as samples. By mean-variance and GARCH model, analyze these data, in order to confirm that there exists month effect in Chinese stock market. It shows during February, July in Shanghai stock market and during February in Shenzhen stock market.