[1]张 普,陈 亮,蒋月娥.海峡两岸股票市场日历效应研究——基于滚动样本的实证分析[J].常州大学学报(社会科学版),2018,19(01):64-72.[doi:10.3969/j.issn.2095-042X.2018.01.008]
　Zhang Pu,Chen Liang,Jiang Yue-e.On Calendar Effect of Cross-Strait Stock Markets—An Empirical Analysis of Rolling Samples[J].Journal of Changzhou University(Social Science Edition),2018,19(01):64-72.[doi:10.3969/j.issn.2095-042X.2018.01.008]
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海峡两岸股票市场日历效应研究——基于滚动样本的实证分析()
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常州大学学报(社会科学版)[ISSN:2095-042X/CN:32-1821/C]

卷:
第19卷
期数:
2018年01期
页码:
64-72
栏目:
经济·管理学研究
出版日期:
2018-02-01

文章信息/Info

Title:
On Calendar Effect of Cross-Strait Stock Markets—An Empirical Analysis of Rolling Samples
作者:
张 普; 陈 亮; 蒋月娥
Author(s):
Zhang Pu;  Chen Liang;  Jiang Yue-e
关键词:
日历效应;  滚动样本;  GARCH;  沪深300指数;  台湾加权指数
Keywords:
calendar effect;  rolling samples;  GARCH;  the CSI 300 index;  Taiwan weighed index
分类号:
F830.91
DOI:
10.3969/j.issn.2095-042X.2018.01.008
文献标志码:
A
摘要:
运用GARCH模型和滚动样本检验方法,实证分析了自股权分置改革完成以来,沪深股市与台湾股票市场的星期效应和月度效应,研究了海峡两岸股票市场日历效应的时变特征,得出了稳定性较强的结论。研究发现:两岸股票市场都存在短暂星期一效应,台湾股市星期三效应较为明显,沪深股市星期五效应较为明显; 台湾股市具有明显的九月效应,但从2014年开始逐渐消失,沪深股市前期具有七月效应,中期具有六月效应。对海峡两岸股票市场日历效应的比较分析剔除了传统文化因素的影响,指出了两岸市场间在制度设计、信息披露、投资者理性等方面可能存在的差异。
Abstract:
Basing on the method of rolling sample test and the GARCH model, week effect and month effect in Shanghai & Shenzhen stock markets and Taiwan stock market after shareholding reform are investigated and the time change features of calendar effect of cross-strait stock markets are studied. Stable conclusions are found out that the temporary Monday effect exists in both cross-strait markets. Wednesday effect is more obvious in Taiwan stock market but it is Friday effect in Shanghai & Shenzhen stock markets. The results indicate that there is a significantly positive month effect in September which has disappeared since 2014 in Taiwan stock market. July effect appears in the early time period and June effect in the medium term in Shanghai & Shenzhen stock markets. The comparative analysis of calendar effect between Shanghai & Shenzhen stock markets and Taiwan stock market eliminates the influence of traditional culture factors, points out the differences in system design, information disclosure, and investors’ rationality between cross-strait markets.

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备注/Memo

备注/Memo:
作者简介:张普,管理学博士,常州大学商学院副教授,硕士生导师; 陈亮,常州大学商学院硕士研究生; 蒋月娥,常州大学商学院硕士研究生。
基金项目:国家社会科学基金一般项目“意外冲击、异质信念与中国股票市场波动性价值研究”(14BJY183 )。
更新日期/Last Update: 2018-02-20