發(fā)布時(shí)間：2018-01-19 14:35

  本文關(guān)鍵詞： 數(shù)字文化 擇日效應(yīng) 4日期效應(yīng) GARCH模型　出處：《西南交通大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：作為備受關(guān)注的金融市場(chǎng)異象之一,日歷效應(yīng)被證明普遍存在于不同國(guó)家、不同地區(qū)的股票市場(chǎng)中,大量的文獻(xiàn)研究已對(duì)其作了較為深入的探討。本文希望在前人研究基礎(chǔ)上從數(shù)字文化視角來(lái)探討我國(guó)股票市場(chǎng)是否存在擇日效應(yīng)。選擇這個(gè)視角,方面是因?yàn)閿?shù)字文化作為中國(guó)傳統(tǒng)文化的重要內(nèi)容,對(duì)國(guó)人的生活有深刻的影響,而目前研究數(shù)字文化對(duì)股票市場(chǎng)影響的文獻(xiàn)并不多；另一方面日期是以數(shù)字來(lái)表示的,有助于研究工作開(kāi)展。 本文以2000年1月至2012年12月十三年間共3144個(gè)交易日的上海、深圳A股市場(chǎng)上證綜合指數(shù)和深證成份指數(shù)每日收盤(pán)價(jià)作為研究樣本,數(shù)據(jù)來(lái)自CCER中國(guó)經(jīng)濟(jì)研究數(shù)據(jù)庫(kù)。同時(shí),還對(duì)上市公司召開(kāi)股東大會(huì)及IPO的日期做了簡(jiǎn)單分析,這部分?jǐn)?shù)據(jù)分別來(lái)自同花順和CCER數(shù)據(jù)庫(kù)。本文通過(guò)建立回歸模型和GARCH模型對(duì)指數(shù)收益率及其波動(dòng)的日歷效應(yīng)進(jìn)行檢驗(yàn),對(duì)農(nóng)歷日期和公歷日期分別研究,并將日期按照尾數(shù)分組探討。 回歸模型檢驗(yàn)結(jié)果表明,農(nóng)歷日期只有初三和二十八在10%的水平上顯著,但尾數(shù)分組檢驗(yàn)并不顯著。對(duì)公歷分組數(shù)據(jù)而言,4日期存在顯著為正的收益率,可認(rèn)為我國(guó)股市存在4日期效應(yīng)；8日期收益并不顯著,但7日期通過(guò)弱檢驗(yàn)存在顯著為負(fù)的收益,9日期通過(guò)強(qiáng)檢驗(yàn)存在顯著為正的收益,8日期前后的異常收益可以歸結(jié)為8日期效應(yīng)。GARCH模型檢驗(yàn)結(jié)果表明,農(nóng)歷日期不存在顯著的收益,公歷日期只有4日期表現(xiàn)為顯著的正收益,波動(dòng)則呈現(xiàn)顯著為負(fù)的3日期效應(yīng)和5日期效應(yīng)。 研究結(jié)果表明,由于公歷的普遍運(yùn)用,投資者交易時(shí)更關(guān)注公歷日期：一方面，，投資者對(duì)數(shù)字有明顯偏好,在公司IPO及召開(kāi)股東大會(huì)時(shí),更多選擇8日期而避開(kāi)4日期：另一方面,我國(guó)股市受到數(shù)字文化影響而存在擇日效應(yīng),即4日期存在顯著的正收益,且在4日期前后會(huì)出現(xiàn)顯著的異常波動(dòng),本文認(rèn)為這是數(shù)字文化影響了投資者交易心理、交易行為從而表現(xiàn)為市場(chǎng)收益和波動(dòng)的異常。
[Abstract]:As one of the most concerned anomalies of financial markets, calendar effect has been proved to exist in different countries and different regions of the stock market. A large number of literature studies have made a more in-depth study of it. This paper hopes to explore whether there is a day effect in the stock market from the perspective of digital culture on the basis of previous studies. The reason is that digital culture, as an important part of Chinese traditional culture, has a profound impact on the life of Chinese people, but there are few literatures on the influence of digital culture on stock market. On the other hand, the dates are expressed in numbers, which is helpful to the research work. This paper takes the daily closing price of Shanghai Composite Index and Shenzhen Stock Exchange component Index in Shanghai and Shenzhen A-share market from January 2000 to December 13th 2012 as the research samples. The data are from the CCER China Economic Research Database. At the same time, the date of the shareholders' meeting and the date of the IPO of the listed company are also analyzed briefly. This part of data comes from Tonghuashun and CCER database respectively. This paper tests the calendar effect of index return and its fluctuation by establishing regression model and GARCH model. The dates of lunar calendar and Gregorian calendar are studied, and the dates are divided into groups according to Mantissa. The results of regression model test show that only the third and 28 lunar dates are significant at the level of 10%, but the Mantissa grouping test is not significant, as far as the Gregorian calendar grouping data are concerned. (4) there is a significantly positive rate of return on the date, which can be considered as a 4-day effect in China's stock market; 8. The yield on date is not significant, but there is a significant negative return on the weak test of 7 days. The yield of 9 days through the strong test is significantly positive. The results of the GARCH model test show that there is no significant income on the lunar calendar, and only 4 days in the Gregorian calendar show significant positive returns. The fluctuation showed negative 3-day effect and 5-day effect. The results show that due to the universal use of Gregorian calendar, investors pay more attention to Gregorian calendar dates: on the one hand, investors have a clear preference for numbers, in the company IPO and the convening of shareholders' general meeting. On the other hand, due to the influence of digital culture, China's stock market has a day effect, that is, there is a significant positive return on the fourth day, and there will be significant abnormal fluctuations before and after the 4th day. This paper argues that the digital culture has influenced investors' trading psychology, and the trading behavior is characterized by abnormal market returns and fluctuations.
【學(xué)位授予單位】：西南交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.51;F224

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