| 中国股票市场换月效应及其成因的实证研究 |
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| 引用本文： | 赵家敏,严雄.中国股票市场换月效应及其成因的实证研究[J].南方经济,2010(2):42-52,82. |
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| 作者姓名： | 赵家敏 严雄 |
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| 作者单位： | 暨南大学经济学院金融系,广州,510632 |
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| 基金项目： | 感谢匿名审稿人的建议与评论. |
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| 摘 要： | 本文以上证指数和深成指数为研究对象，用ARMA—GARCH模型就换月效应在我国沪深两市的存在性及其成因进行了实证检验，结果发现换月效应在样本研究期间的沪深两个市场普遍存在，采用滚动样本检验进行的稳健性分析也支持这一结论。为了研究换月效应的成因，本文根据我国基金业的发展特征构造了相关的假设检验，结果发现我国股市的换月效应在证券投资基金出现之后显著增强，而在之后基金业较为规范的一个时期换月效应又有所减弱，表明窗饰假说对我国股票市场换月效应具有相当大的解释力。
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| 关 键 词： | 换月效应 滚动样本检验 窗饰假说 |
An Empirical Study on Turn-of-the-month Effect and Its Causes in Chinese Stock Market |
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| Jiamin Zhao,Xiong Yan.An Empirical Study on Turn-of-the-month Effect and Its Causes in Chinese Stock Market[J].South China journal of Economy,2010(2):42-52,82. |
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| Authors: | Jiamin Zhao Xiong Yan |
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| Affiliation: | Jiamin Zhao Xiong Yan |
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| Abstract: | In this paper, we analyze Shanghai Stock Index and Shenzhen Stock Index from January 3, 1994 to September 26, 2008, to test whether turn-of-the-month effect exists in Chinese stock market. We find turn-of-the-month effect is widespread in Shanghai and Shenzhen Stock market, and our robustness analysis also supports this result. In addition, turn-of-the-month effect can be explained by window dress hypothesis in some degree. |
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| Keywords: | Turn-of-the-month Effect Rolling Sample Test Window Dress Hypothesis |
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