摘要
对我国证券市场的月交替效应进行了检验,通过实证研究发现我国证券市场并不存在西方证券市场普遍存在的月交替效应,即每个月的前4个交易日和上个月的最后一个交易日的平均收益率高于其他交易日的平均收益率。我国的月交替效应是每个月的前6个交易日和上个月的最后一个交易日的平均收益率高于其他交易日的平均收益率。我国证券市场月初效应产生的主要原因是机构投资者选择在月末拉高所持股票的价格、上市公司和监管机构在月末披露信息和出台政策以及市场反应具有滞后性。
This paper verifies the turn - of- the - month effect in the security market of China. It is found out that the turn - of - the - month effect in Chinese security market differs from those in western market. In china, the average rate of returns between the first six trading days and the last trading day is higher than those of other trading days. This effect can be mainly caused by the following reasons ： 1 ） the investors who are financial firms consider the end of the month as a good time to raise the price of the stocks they hold; 2） information is released at the end of each month by listed companies and the financial administrations; 3） the market does not respond to the information in time.
出处
《武汉理工大学学报（信息与管理工程版）》
CAS
2007年第4期145-148,共4页
Journal of Wuhan University of Technology：Information & Management Engineering
关键词
月交替效应
证券市场
收益率
the turn - of - the - month effect
security market
ratio of income
