摘要
就中国股票市场是否存在显著的“月份效应”和“月初效应”进行了实证分析,发现中国股票市场并不存在绝大多数工业发达国家股票市场和其他某些新兴股票市场所普遍具有的“一月份效应”;但是实证分析显示,沪深两市均存在显著的“月初效应”。在样本期内,两市从前一交易月的最后一个交易日到本交易月的第六个交易日期间的日平均收益率均在统计上显著为正,并且远远高于剩余交易日的日平均收益率,表明沪深两市在某种意义上都缺乏有效率。
This study examines the ' month-of-the-year eifect' and ' turn-of-the-month effect in the Chinese stock markets. For both the Shanghai and Shenzhen stock markets, we find no evidence for a significant positive 'January effect' which has been shown to be a persistent anomaly in most industrial stock markets and some e-merging stock markets. However, we find strong evidence that a significant positive 'turn-of-the-month effect----mean daily returns are higher during the last trading day of the prior month to the sixth trading day of the
current month----exists in both the Shanghai and Shenzhen stock market. Our findings may indicate inefficiency in
both the Shanghai and Shenzhen stock markets.
出处
《管理科学》
2003年第1期41-48,共8页
Journal of Management Science
关键词
股票市场
月份效应
月初效应
收益率
Stock market
Month - of - the - year effect
Turn - of - the - month effect
Return
