中国股票市场日周效应的规律性研究

The day-of-the-week effect in stock markets of China

对我国股票市场的日周效应进行研究发现,自1995年1月1日以后沪、深A股和深市B股市场存在着显著的正周五效应.实证结果表明,存在于中国证券市场上的正周五效应可以通过结算过程假设和半月效应假设进行解释.同时研究发现中国深市B股市场的日周效应可能源自于国外市场的溢出效应.当不考虑交易成本的情况下,在中国沪、深A股市场上存在着利用日周效应交易策略进行套利的机会.

This paper examines the day-of-the-week effect in the stock markets of China. We find positive returns of Shanghai A-share and Shenzhen A- and B-share stocks on Friday after January 1, 1995. The finding of positive returns on Friday can be explained by the settlement procedure hypothesis and the semi-monthly effect. The finding suggests that this day-of-the-week regularity in Shenzhen B-share market may be due to the spillover from overseas. When transaction costs are not taken into account, the probability that arbitrage profits are available from the day-of-the-week trading strategies in Shanghai and Shenzhen A-share markets is existential.