| 中国股票市场换月效应及其成因的实证检验 |
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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检验[J]. 南方经济, 2010, 28(2): 42-52 |
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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; |
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| 摘 要： | 本文选用1994年1月4日到2008年9月26日的上证指数和深成指数为分析对象，对换月效应在我国沪深两市的存在性以及窗饰假说对于我国股市换月效应的解释力进行了实证检验，结果发现：换月效应在样本期间的沪深两市普遍存在着，采用滚动样本检验进行的稳健性分析也支持这一结果；本文根据我国基金业发展特征所构造的检验方法发现，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 |
| 收稿时间： | 2009-04-08 |
An Empirical Study On turn-of-the-month Effect and Window dress hypothesis In Chinese Stock Market |
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| Jiamin Zhao Xiong Yan. An Empirical Study On turn-of-the-month Effect and Window dress hypothesis In Chinese Stock Market[J]. South China journal of Economy, 2010, 28(2): 42-52 |
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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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