沪深股市月份效应和月初效应的实证研究

文章利用上证综合指数和深圳成分指数的数据，采用基本统计分析、参数方法和非参数方法（Kol—mogorov—Smimov检验、Kruskal-Wallis检验、Mann—Whitney检验）对沪深股市的月份效应和月初效应进行了实证分析。结果表明，沪深股票市场均不存在收益率的月份效应，而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问的日平均收益率显著为正，并且远远高于剩余交易日的日平均收益率。

The Empirical Research of Month Effect and Beginning-of-a-Month Effect in Stock Markets in Shanghai and Shenzhen

Based on the analyzing and examining Shanghai Composite Index and Shenzhen Composite Index, the article empirically analyzes the month effect and beginning-of-a-month effect through statistical analysis, parametric technique and non-parametric technique （Kolmogorov-Smirnov testing, Kruskal-Wallis testing, Mann-Whitney testing）. The results have shown that month effect doesn＇t exist in the two markets but that the beginning of a month effect is prominent. In the selected timeline beginning from the last trading day of the month ending with the sixth day of the next trading month, the average daily yield is greatly positive, much higher than that of the rest days in the month.