基于不同规模指数的中国股票市场周内效应异质性

Heterogeneity of Day-of-the-Week Effect in Chinese Stock Market Based on Different Scale Indexes

周内效应的存在对股票市场有效性提出了重大挑战,而目前对其异质性的研究较少.文章建构AR(1)-GARCH(1,1)模型,探究了中国不同规模指数周内效应的异质性.结果显示,大盘蓝筹股指数周内效应相对中小盘股票指数显著较弱,且两者的周内效应规律也存在较大差异.大盘蓝筹股存在"负周三"效应,而中小盘股票存在"正周一"和"正周二"效应.市场情绪对的中国股票市场周内效应的影响不显著,而个人投资者才是影响中小盘股票指数周内效应的主要原因.该结论为优化投资者结构和开展投资者分类监管提供了依据.

The Day-of-the-Week effect brings a big challenge to Efficient Market Hypothesis,but there are few studies on its heterogeneity.Therefore,we constructed AR(1)-GARCH(1,1) model to explore this problem based on different scale indexes.The results indicate that,the Day-of-the-Week effect of Blue-Chip Index is weaker than the Small and Medium Cap Stock Index,meanwhile,the regularity is different too.The "Negative Wednesday" effect is prone to the Blue-Chip Index,whereas "Positive Monday" effect and "Positive Tuesday" effect are prone to the Small-andMid-Cap Stock Index.The influence of market sentiment on Day-of-the-Week effect in Chinese stock market is not significant while the individual investors affect the Small-and-Mid-Cap Stock Index a lot.The conclusion provides a basis for optimizing investor structure and the investor classification in Chinese stock market.