宏观经济数据公布与中国股市日历效应

The Release of Macroeconomic Data and the Calendar Effect in Chinese Stock Market

本文研究发现,2001年1月至2016年7月间,在国家统计局公布包括CPI、PPI在内的通胀数据的前一日,上证指数会出现-0.291个百分点,且在1%的水平保持显著的负收益。此现象并非来源于通胀数据中的信息对股市的冲击影响,而是由市场对已知的数据公布日程的反应所致,在本质上更接近于一种另类的日历效应。本文认为其成因在于中国股市高度的信息不对称及卖空限制引发的投资者在通胀数据公布前的避险行为。研究还发现,类似效应在其他重大宏观经济数据公布前也存在。

The research of this paper indicates that, during January, 2001-July, 2016, the Shanghai Composite Index shows a -0.291 percentage-point return at the 1% significant level on the day before the National Bureau of Statistics releasing the inflation data including CPI and PPI. This phenomenon does not originate from the impact of the information in inflation data on the stock market but rather from the reaction of the market to the publication schedule of the known data, and in essence it is closer to a different kind of calendar effect. The authors of the paper argue that its causes lie in the highly asymmetric information of Chinese stock markets and the hedging behavior of investors resulting from the the short selling restriction before the release of the inflation data. The research indicates that the similar effect exists in the markets on the day before the release of the other major macroeconomic data.