节气历视角下中国股市日历效应的实证研究

Empirical Study on the Calendar Effect of Chinese Stock Market from the Perspective of Solar Terms Calendar

以2000-2017年沪市A股综合指数为样本,手工将公历转换成节气历,对我国股市日历效应进行了实证检验,结果发现:中国股市在立春期间股票收益率显著为正,说明存在"节气期间效应";春季期间股票收益率显著为正,说明存在"节气季节效应";文化内涵丰富的立春、清明和冬至等节气日窗口期股票收益率显著为正,说明存在"节气日效应"。以上结果表明,节气历日历效应的产生原因与春节效应和自身文化内涵有关,而与气候变化无关。

This paper chooses A - share listed firms in Shanghai and Shenzhen stock market from 2000 to 2017 as a sample, manu- ally converts the Gregorian Calendar into the Solar Terms Calendar, and empirically examines the calendar effect of Chi- nese stock market. The results show that the return rate of stock in Chinese stock market during the period of Liehun is significantly positive, suggesting the Solar Terms Period Effect exists. The return rate of stock during the period of the season of spring is significantly positive, suggesting the Solar Terms Season Effect exists. The window period of the solar term days of Liehun, Qingming, Dongzhi, which are full of culture connotation, is significantly positive, suggesting the Solar Terms Day- Effect exists. The results above suggest that the main reasons for the solar terms calendar effect are the Festival Effect and its own culture connotation, but not the climate variation.