本文選題：創(chuàng)業(yè)板指數(shù)　切入點：月歷效應(yīng)　出處：《安徽財經(jīng)大學(xué)》2017年碩士論文

【摘要】：創(chuàng)業(yè)板是孵化科技型、成長型企業(yè)的搖籃,以創(chuàng)業(yè)創(chuàng)新型企業(yè)為服務(wù)對象,著重鼓勵具有自主創(chuàng)新能力的企業(yè)上市,是一個具有門檻低、風(fēng)險大、監(jiān)管嚴格等特點的股票市場。自2009年以來,由于政府政策的持續(xù)扶持,我國創(chuàng)業(yè)板發(fā)展迅速,成為促進我國經(jīng)濟發(fā)展與轉(zhuǎn)型的重要動力,為我國建造創(chuàng)新型國家注入了新活力。10年的曲折準備,7年的逐步完善,我國創(chuàng)業(yè)板已受到社會各界越來越多的關(guān)注,很多國內(nèi)外學(xué)者針對不同的問題對其展開研究,希望通過研究能夠更多的了解和改善創(chuàng)業(yè)板市場,而對日歷效應(yīng)的研究便是其中之一。本文以現(xiàn)有研究為基礎(chǔ),選取2010年6月1日至2016年11月30日7年的我國創(chuàng)業(yè)板指數(shù)為數(shù)據(jù)樣本,以交疊樣本檢驗方法將樣本分為3個區(qū)間,運用描述性統(tǒng)計、ARCH模型、GARCH模型、TGARCH模型、EGARCH模型、GARCH-M模型對我國創(chuàng)業(yè)板是否呈現(xiàn)日歷效應(yīng)這一市場異象進行實證檢驗。同時,根據(jù)上述檢驗結(jié)果,研究公司規(guī)模與日歷效應(yīng)的相關(guān)性和Fama-French三因子模型對月歷效應(yīng)和周內(nèi)效應(yīng)是否具有解釋作用。研究結(jié)果表明:我國創(chuàng)業(yè)板指數(shù)收益率具有二月效應(yīng)和周三、周五效應(yīng),并且絕大數(shù)公司的月歷效應(yīng)和周內(nèi)效應(yīng)都較為顯著,只有少數(shù)小公司的月歷效應(yīng)和周內(nèi)效應(yīng)不太顯著,即公司規(guī)模與月歷效應(yīng)、周內(nèi)效應(yīng)具有相關(guān)性。此外,Fama-French三因子中市場因子與規(guī)模因子對二月效應(yīng)和周三、周五效應(yīng)具有解釋作用,賬面市值比因子對其沒有解釋作用。同時,除少數(shù)幾個公司的二月、周三、周五的超額收益不可被解釋外,絕大數(shù)的公司的二月效應(yīng)和周三、周五效應(yīng)的超額收益都是可被解釋,即Fama-French風(fēng)險因子在很大程度上能夠解釋二月效應(yīng)與周三、周五效應(yīng)。我國創(chuàng)業(yè)板存在日歷效應(yīng)說明了股票市場的非有效性,在信息披露方面、投資者行為、交易機制等仍亟待改善。因此,本文針對研究結(jié)果提出完善我國創(chuàng)業(yè)板市場的幾點建議,一方面投資者可以根據(jù)研究出來的月歷效應(yīng)和周內(nèi)效應(yīng)制定更為高效的投資計劃,以獲得預(yù)期的投資收益。另一方面政府也應(yīng)該加強市場監(jiān)管,細化信息披露制度,同時加強投資者對市場的了解程度,讓我國創(chuàng)業(yè)板市場實現(xiàn)更有效的運行。
[Abstract]:The gem is the cradle of high-tech and growth-oriented enterprises. It focuses on encouraging enterprises with independent innovation ability to list on the market. It has a low threshold and a high risk. Since 2009, due to the continuous support of government policies, the gem of our country has developed rapidly, which has become an important driving force to promote the economic development and transformation of our country. After 10 years of zigzag preparation and 7 years of gradual improvement, China's gem has attracted more and more attention from all walks of life, and many scholars at home and abroad have studied it for different problems. I hope to understand and improve the gem market through the research, and the calendar effect is one of them. The gem index of China for 7 years from June 1, 2010 to November 30, 2016 is selected as the data sample, and the sample is divided into three regions by the overlapping sample test method. In this paper, the descriptive statistical arch model and the GARCH model / EGARCH model / GARCH-M model are used to test the market anomalies of whether the gem is calendar effect in China. At the same time, according to the above test results, This paper studies the correlation between company size and calendar effect and whether the Fama-French three-factor model can explain the calendar effect and intraweek effect. The results show that the return rate of gem has February effect and Wednesday Friday effect. And most of the company's calendar effect and week effect are more significant, only a few small companies' calendar effect and week effect is not significant, that is, the company size and calendar effect, In addition, market factors and scale factors in Fama-French three factors have an explanatory effect on February effect and Wednesday and Friday effect, but the book market value factor has no explanation for it. Meanwhile, with the exception of a few companies, February, The excess earnings on Wednesday and Friday cannot be explained. The February effect of most companies and the excess return on Wednesday and Friday effect can be explained, that is, the Fama-French risk factor can explain February effect and Wednesday effect to a large extent. Friday effect. The existence of calendar effect on gem in our country shows that the stock market is not effective. In the aspect of information disclosure, investors' behavior and trading mechanism still need to be improved urgently. Based on the research results, this paper puts forward some suggestions to improve the gem market in China. On the one hand, investors can make more efficient investment plans according to the calendar effect and the week effect. On the other hand, the government should strengthen the supervision of the market, refine the information disclosure system, at the same time, strengthen the investors' understanding of the market, so that the gem market of our country can operate more effectively.
【學(xué)位授予單位】：安徽財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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