本文關(guān)鍵詞：我國(guó)A股市場(chǎng)不同公司規(guī)模的季節(jié)效應(yīng)研究　出處：《湖南大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

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【摘要】：1970年，F(xiàn)ama首次定義了有效市場(chǎng)的概念，他指出在有效市場(chǎng)中，無(wú)論選擇哪種證券或證券組合，證券投資者均只能獲取與該證券或證券組合投資風(fēng)險(xiǎn)相當(dāng)?shù)恼Ｊ找媛�，而不能獲得超額收益。最近幾十年來(lái)，對(duì)證券市場(chǎng)收益率異象的研究己經(jīng)成為對(duì)市場(chǎng)有效性研究的重點(diǎn)，而收益率的季節(jié)效應(yīng)和規(guī)模效應(yīng)是其中兩個(gè)重要的市場(chǎng)異象。 季節(jié)效應(yīng)是指與季節(jié)相聯(lián)系的股票市場(chǎng)非正常收益，包括了季度，月歷，周歷等。規(guī)模效應(yīng)是指股票投資收益率隨公司相對(duì)規(guī)模的上升而下降,尤其是市值較小的公司股票投資收益率超過(guò)市場(chǎng)平均水平的現(xiàn)象，又稱為“小公司效應(yīng)”。西方學(xué)者對(duì)這兩個(gè)市場(chǎng)異象做了很深入的研究，也得到了很多結(jié)論，但以往的研究都較少考慮二者的關(guān)聯(lián)性。本文從中國(guó)股票市場(chǎng)公司規(guī)模角度研究中國(guó)股市的季節(jié)效應(yīng)問(wèn)題，通過(guò)本文的研究可以進(jìn)一步檢驗(yàn)中國(guó)股票市場(chǎng)的規(guī)模性和季節(jié)性行為，也使我們能夠更深入透徹地了解造成規(guī)模性和季節(jié)性運(yùn)動(dòng)的原因。與西方發(fā)達(dá)國(guó)家相比，中國(guó)的股票市場(chǎng)是一個(gè)新興的市場(chǎng)，，因此中國(guó)股票市場(chǎng)的規(guī)模性和季節(jié)性行為可能與其他國(guó)家和地區(qū)不同，這也是本文的研究意義所在。 本文從公司規(guī)模的角度重點(diǎn)研究我國(guó)A股市場(chǎng)的季節(jié)效應(yīng)，選用滬、深兩市2000年1月1日前上市的所有個(gè)股股票為研究樣本，選取2000年1月4日至2011年12月31日為研究總樣本期間。文章首先用DF和ADF檢驗(yàn)對(duì)樣本時(shí)間序列進(jìn)行了單位根檢驗(yàn)，發(fā)現(xiàn)所有樣本序列均為平穩(wěn)序列。然后，對(duì)它們進(jìn)行ARCH-LM檢驗(yàn)，發(fā)現(xiàn)日收益率不具有ARCH效應(yīng)，而月收益率和季收益率具有明顯的ARCH效應(yīng)。根據(jù)檢驗(yàn)的結(jié)果，本文采用GARCH模型對(duì)不同公司規(guī)模收益率的季節(jié)性效應(yīng)和月歷效應(yīng)進(jìn)行檢驗(yàn)，得出我國(guó)A股市場(chǎng)存在一月效應(yīng)和二月效應(yīng)，而一月效應(yīng)和二月效應(yīng)的存在導(dǎo)致了春季效應(yīng)；采用線性回歸模型對(duì)不同公司規(guī)模的周歷效應(yīng)進(jìn)行檢驗(yàn)得出我國(guó)A股市場(chǎng)存在周一效應(yīng)；同時(shí)本文引入規(guī)模溢價(jià)這一指標(biāo)研究分析了規(guī)模效應(yīng)和季節(jié)效應(yīng)的關(guān)聯(lián)性，并對(duì)各個(gè)實(shí)證結(jié)果給出了解釋。最后對(duì)結(jié)論進(jìn)行總結(jié)及提出進(jìn)一步研究的重點(diǎn)。
[Abstract]:In 1970, Fama first defined the concept of efficient markets, pointing out that in efficient markets, whatever securities or portfolio is chosen. Investors in securities can only earn a normal rate of return comparable to the risk of a security or portfolio investment, rather than an excess return. The study of yield anomalies in securities market has become the focus of the research on market efficiency, and the seasonal effect and scale effect of yield are two important market anomalies. Seasonal effect refers to the abnormal return of the stock market associated with the season, including quarter, calendar, calendar, etc. The scale effect refers to the decline of the return on stock investment with the increase of the relative scale of the company. In particular, the phenomenon that the return on stock investment of market value's small company exceeds the market average is also called "small firm effect". Western scholars have made a very deep research on these two market anomalies, and got a lot of conclusions. However, previous studies have seldom considered the correlation between the two. This paper studies the seasonal effect of Chinese stock market from the perspective of company size in Chinese stock market. Through the research of this paper, we can further test the scale and seasonal behavior of Chinese stock market, and also make us understand the causes of scale and seasonal movement more thoroughly, compared with the western developed countries. China's stock market is a new market, so the scale and seasonal behavior of Chinese stock market may be different from other countries and regions, which is also the significance of this study. This paper focuses on the seasonal effect of A share market in China from the perspective of company size, and selects all stocks listed in Shanghai and Shenzhen stock markets before January 1st 2000 as the research samples. During the period from January 4th 2000 to December 31st 2011, the sample time series were tested with DF and ADF test. It is found that all the sample sequences are stationary sequences. Then, the ARCH-LM test shows that the daily return rate does not have the ARCH effect. The monthly rate of return and the quarterly rate of return have obvious ARCH effect. According to the results of the test, this paper uses the GARCH model to test the seasonal effect and calendar effect of the return on different companies. It is concluded that there are January effect and February effect in Chinese A-share market, while January effect and January effect lead to spring effect. Using the linear regression model to test the cycle calendar effect of different company size, we can find out that there exists Monday effect in the A-share market of our country. At the same time, this paper introduces the scale premium as an index to analyze the correlation between scale effect and seasonal effect, and gives an explanation of each empirical result. Finally, the conclusion is summarized and the key points of further research are put forward.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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