股票市场周日历效应传导关系研究

以上证综指、深证成指、恒生指数、日经225指数四种指数为研究对象，实证研究四个股市的周日历效应及其传导关系。研究发现，上证综指在一周中有三天存在周日历效应，周二负效应和周三、周五正效应；深证成指在周三和周五两天存在正效应；恒生指数和日经225指数则分别在周五和周一存在正效应和负效应。上证综指的周三、周五正效应与深证成指的周三、周五正效应互相传导；上证综指与恒生指数的周五正效应互相传导；深证成指与恒生指数的周五正效应亦互相传导；日经225指数与其他三种指数的周日历效应却不存在传导关系。

Study on Contagion of Day of the Week Effect on Stock Markets

In this paper, at first, we study on the day of the week effect of four stocks index： Shanghai Stock Exchange Composite（SSEC）, Shenzhen Stock Exchange Component（SZSEC）, HangSeng Index（HSI）, Nikkei 225; furthermore, we consider the contagion relationship of the day of the effect among four stocks index. The results show that in Shanghai stock market, there are three days have week effect, negative effect on Tuesday and positive effect on Wednesday and Friday, in Shenzhen stock market, also have positive effect on Wednesday and Friday, in Hongkong stock market and Tokyo stock market, they are respectively have positive effect on Friday and negative effect on Monday. The results of contagion relationship show that the positive effect on Wednesday and Friday transmit each other between Shanghai and Shenz.hen Stock markets, the positive effect on Friday of Shanghai and Hongkong markets also transmit each other, so do Shenzhen and Hongkong, Tokyo market haven＇t contagion relationship with others.