發(fā)布時間：2018-11-26 15:30

【摘要】：日歷效應是指在證券市場中的某一特定時期,投資者通過交易可以獲得超額收益的現(xiàn)象。作為市場異象之一,日歷效應的存在對有效市場假說產(chǎn)生了挑戰(zhàn),為了證明日歷效應的存在以及對其進行解釋,眾多學者對世界各國的金融市場進行了相關(guān)研究。 我國于2005年4月8日發(fā)布了滬深300指數(shù),并于2010年4月16日,正式推出了以滬深300指數(shù)為標的的期貨合約交易,該衍生產(chǎn)品的推出,將從根本上改變我國證券市場的現(xiàn)狀,對于我國證券市場的完善和改革深化有著重要的意義。然而股指期貨合約的交割對滬深300現(xiàn)貨指數(shù)市場是否產(chǎn)生影響,滬深300指數(shù)是否也存在日歷效應?這些問題影響著股票市場的穩(wěn)定和投資者的收益。 本文采用滬深300指數(shù)收益率作為樣本數(shù)據(jù),運用計量統(tǒng)計方法對其是否存在周內(nèi)效應和交割日效應進行了實證研究。為了進一步研究次貸危機后我國股票市場的有效性是否有所改善,本文在研究周內(nèi)效應時,將總樣本數(shù)據(jù)按不同的市場環(huán)境劃分為三個區(qū)間,對各個區(qū)間分別實證檢驗并對結(jié)果進行了對比分析。研究結(jié)果表明：我國股市存在顯著的周內(nèi)效應,而在經(jīng)歷了次貸危機的洗禮后周內(nèi)效應發(fā)生了逆轉(zhuǎn)；我國滬深300指數(shù)并不存在顯著的交割日效應。周內(nèi)效應的存在以及發(fā)生的逆轉(zhuǎn),說明我國股票市場的有效性得到了改善,但還沒有達到弱式有效階段。 日歷效應的存在揭示了我國股票市場在信息披露制度和市場參與者行為等方面還不夠成熟和完善,針對這些問題,本文提出了提高我國股票市場效率的幾點建議。
[Abstract]:Calendar effect refers to the phenomenon that investors can obtain excess returns through trading in a certain period in the stock market. As one of the market anomalies, the existence of calendar effect challenges the efficient market hypothesis. In order to prove the existence of calendar effect and explain it, many scholars have carried on the related research to the financial market of various countries in the world. China issued the CSI 300 index on April 8, 2005, and on April 16, 2010, formally launched the futures contract trading with CSI 300 index as its target. The launch of the derivative product will fundamentally change the current situation of the securities market in China. It is of great significance to improve and deepen the reform of China's securities market. However, whether the delivery of stock index futures contracts has an impact on the Shanghai and Shenzhen 300 spot index market, and whether there is a calendar effect in the Shanghai and Shenzhen 300 index? These problems affect the stability of the stock market and the return of investors. In this paper, the return rate of CSI 300 index is used as the sample data, and the econometric method is used to make an empirical study on the existence of intraweek effect and delivery day effect. In order to further study whether the effectiveness of China's stock market has been improved after the subprime mortgage crisis, this paper divides the total sample data into three intervals according to different market environment. The results are compared with each interval. The results show that: there is a significant intraweek effect in China's stock market, but after the baptism of the subprime mortgage crisis, the effect has been reversed, and there is no significant daily delivery effect in China's Shanghai and Shenzhen 300 index. The existence and reversal of the intraweek effect indicate that the efficiency of Chinese stock market has been improved, but it has not reached the weak effective stage. The existence of calendar effect reveals that the stock market in our country is not mature and perfect in the aspects of information disclosure system and market participants' behavior. In view of these problems, this paper puts forward some suggestions to improve the efficiency of our stock market.
【學位授予單位】：東華大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

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本文編號：2358945