| 股市的节日效应探源:基于上证综指和深证成指收益率 |
| |
| 引用本文： | 严太华,齐颂超.股市的节日效应探源:基于上证综指和深证成指收益率[J].改革,2011(1). |
| |
| 作者姓名： | 严太华 齐颂超 |
| |
| 作者单位： | 重庆大学经济与工商管理学院; |
| |
| 摘 要： | 采用上证综指和深证成指收益率数据,运用加权最小二乘法,对我国股票市场的节日效应进行研究,发现中国股市存在显著的节日效应。在研究中国股市的节日效应与周内效应的关系时,发现考虑了周内效应后,沪深两市的节日效应依然显著存在,节日效应并不是由周内效应引起的。通过结合不休市的传统节日研究发现,传统节日也存在显著的节日效应,因此,节日效应不是闭市效应的一种体现。
|
| 关 键 词： | 股票市场 节日效应 闭市效应 |
Exploring the Source of the Holiday-Effect of Stock Market:Based on the Earnings Rate of Shanghai Composite Index and Shenzhen Component Index |
| |
| Yan Taihua Qi Songchao.Exploring the Source of the Holiday-Effect of Stock Market:Based on the Earnings Rate of Shanghai Composite Index and Shenzhen Component Index[J].Reform,2011(1). |
| |
| Authors: | Yan Taihua Qi Songchao |
| |
| Institution: | Yan Taihua Qi Songchao |
| |
| Abstract: | Based on the data of the earnings rate of Shanghai composite index and Shenzhen component index,employing the weighted least squares method,this paper studies on the Holiday-Effect of the stock market in China and finds that the stock market in China has remarkable Holiday-Effect.In the study of the relationship between Holiday-Effect and Weekday-Effect,this paper finds that Holiday-Effect still exists considering the Weekday-Effect and Holiday-Effect is not caused by Weekday-Effect.Combining the research o... |
| |
| Keywords: | stock market Holiday-Effect Close-Effect |
| 本文献已被 CNKI 等数据库收录！ |
|
