沪深股市周内日历效应真的存在吗?--基于牛熊市异质性研究

An Empirical Study of the Weekly Calendar Effect of Shanghai and Shenzhen Stock Markets in China-Based on the Heterogeneity Research of Bull and Bear Market

日历效应是评价股市异象的重要指标之一,它的存在对市场的非有效性提供了一种新解释.运用EGARCH模型对上证综指、深证成指、中小板指和创业板指自2013年7月1日到2019年12月29日每个交易日的收盘价数据进行了实证检验,并考量了牛市和熊市背景下的股价异质性特征,以验证股市周内日历效应是否存在及其效应的大小.研究发现:沪深股市存在负的周四效应,但是这种效应的显著性存在异质性,即牛市期间不显著而在熊市期间显著.牛市期间,深证成指存在负周二效应,中小板指和创业板指则周一到周五都为正效应;在熊市期间,上证综指、深证成指、中小板指和创业板指都存在显著为负的周四效应,深证成指还存在负的周三效应.

Calendar effect,one of the general indicators of stock market anomalies,provides new expla-nation for the inefficiency of the market.In this paper,the EGARCH model is used in the empirical test of the closing price data of each trading day from the Shanghai Composite Index,the Shenzhen Component Index,the Small&Medium-sized Index and the Gem Index from July 1st,2013 to December 29th,2019.The charac-teristics of stock price heterogeneity under the background of bull market and bear market are also examined to verify the existence and magnitude of the calendar effect of the stock market.The results show that there is a negative Thursday effect in Shanghai and Shenzhen stock market,and the negative Thursday effect is not sig-nificant in bull market,but more significant in bear market.During the bull market,negative Tuesday effect appears in Shenzhen stock index,and positive effect exists in the Small&Medium Index and Gem Index through all the weekdays;during the bear market,negative Tuesday effect sweeps across Shanghai and Shenz-hen stock market,Small&Medium Index and Gem Index,and there is also a negative Wednesday effect for Shenzhen stock market.