發(fā)布時(shí)間：2018-02-09 05:46

  本文關(guān)鍵詞： 周末效應(yīng) K-S檢驗(yàn) Mann-Whitney檢驗(yàn) 周四效應(yīng)　出處：《宜春學(xué)院學(xué)報(bào)》2016年08期 　論文類(lèi)型：期刊論文

【摘要】：周末效應(yīng)是各大股市不可忽視的現(xiàn)象,對(duì)有效市場(chǎng)假說(shuō)研究作用顯著,并得到各國(guó)學(xué)術(shù)界的廣泛關(guān)注及討論。本文以1990-2016年的滬深股票市場(chǎng)的歷史數(shù)據(jù)為對(duì)象,首先利用描述統(tǒng)計(jì)和單樣本K-S檢驗(yàn)得出滬市指數(shù)日收益率不是正態(tài)分布的結(jié)論,隨后采用Kruskal—Wallis檢驗(yàn)證實(shí)了周末效應(yīng)存在于滬深股市,之后利用Mann-Whitney檢驗(yàn)得到了效應(yīng)模式,最后采用方差齊性檢驗(yàn)來(lái)對(duì)收益率方差進(jìn)行分析,最終證明滬深股市分別存在"四、五"效應(yīng)和"周四"效應(yīng),并依據(jù)近幾年股市動(dòng)態(tài)提出了導(dǎo)致周末效應(yīng)產(chǎn)生的原因。
[Abstract]:Weekend effect is a phenomenon that can not be ignored in stock market. It plays an important role in the research of efficient market hypothesis, and has been widely concerned and discussed by the academic circles of various countries. This paper takes the historical data of Shanghai and Shenzhen stock markets from 1990 to 2016 as the object. First, by using descriptive statistics and single-sample K-S test, we draw the conclusion that the daily yield of Shanghai stock index is not normal distribution, then we use Kruskal-Wallis test to prove that the weekend effect exists in Shanghai and Shenzhen stock market, and then we use Mann-Whitney test to get the effect model. Finally, this paper analyzes the variance of yield by using the homogeneity test of variance, and finally proves that there are "four, five" and "Thursday" effects in Shanghai and Shenzhen stock markets, and puts forward the causes of weekend effect according to the stock market dynamics in recent years.
【作者單位】： 江西財(cái)經(jīng)大學(xué)統(tǒng)計(jì)學(xué)院;
【分類(lèi)號(hào)】：F832.51
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本文編號(hào)：1497218