一种新的“日历效应”——中国股票市场中的市场异象

A New“Calendar Effect”:Special Market Anomalies in Chinese Stock Market

文章利用2010—2018年的日度交易数据,发现了一种中国股市特有的市场异象——"满月效应",即每月农历14日买入市场指数而16日卖出,可以获得稳健的负收益。经验证,该效应在其他股票市场中不存在,且只有在可以观测到"满月现象"时存在。因此将其归因于传统文化的影响,并验证了传统文化认同会增强这种效应。随后,通过扩大样本区间等方式验证了市场异象的稳健型,并从节假日等角度证明了传统文化角度解释的稳健型。"满月效应"与截面收益率差异的市场异象之间并行不悖,相互独立,即这种市场异象不受市值、换手率、成交量等因素的影响。

Using daily trading data from 2010 to 2018,this paper finds a market anomaly unique to Chinese stock market--"full moon effect",that is,buying market indices on each lunar-calendar 14 th and selling them on the 16 th can yield a robust negative return.Empirically,this effect does not exist in other stock markets,and is shown in China only when"full-moon phenomenon"can be observed.Hence,the paper attributes this phenomenon to the influence of traditional culture and verifies that traditional culture recognition can enhance this effect.Subsequently,by means of expanding the sample ranges and so on,the paper verifies the robustness of market anomalies,and also from the angle of holiday and so on,proves the robustness of traditional culture interpretation.The"full moon effect"is parallel to and independent of the market anomaly of the cross-sectional rate of return,that is,this market anomaly is not affected by market value,turnover rate,trading volume and other factors.the robustness explained by traditional culture was proved from the perspective of holidays.