發(fā)布時(shí)間：2018-11-04 17:34

【摘要】：中國(guó)股票市場(chǎng)作為一個(gè)新興的市場(chǎng),是否達(dá)到弱式有效市場(chǎng)一直是理論界研究的重要課題,由于在制度方面的特殊性及其特有的文化特征,使得中國(guó)股市具有與西方發(fā)達(dá)國(guó)家不盡相同的市場(chǎng)異象。對(duì)市場(chǎng)異象的研究有助于我們加深對(duì)經(jīng)典金融理論的理解,且有助于提高對(duì)中國(guó)股市和投資者行為的認(rèn)識(shí)。因此研究中國(guó)股市的有效性具有重大的理論價(jià)值和實(shí)踐意義。 假期效應(yīng),即法定假期前后是否存在超額收益和波動(dòng)率異�，F(xiàn)象,包括假期前效應(yīng)和假期后效應(yīng)。本文研究以資本市場(chǎng)有效性理論、國(guó)內(nèi)外研究文獻(xiàn)的綜述為理論基礎(chǔ),結(jié)合中國(guó)股票市場(chǎng)實(shí)際情況,利用2005年4月至2014年2月滬深300指數(shù)收益率數(shù)據(jù),使用描述統(tǒng)計(jì)、包含虛擬變量的最小二乘法以及GARCH模型三種實(shí)證檢驗(yàn)方法對(duì)中國(guó)股市假期效應(yīng)的存在性和持續(xù)性進(jìn)行了實(shí)證研究。結(jié)果發(fā)現(xiàn)：中國(guó)股市存在假期效應(yīng),不同假期的假期效應(yīng)表現(xiàn)出不同的形式,春節(jié)、五一、十一假期具有較明顯的假期前效應(yīng),元旦假期前效應(yīng)不明顯。春節(jié)假后,具有明顯為負(fù)的異常收益率,十一假后具有較高異常的正收益率,而元旦、五一的假期后也表現(xiàn)出了高于普通交易日的收益率。
[Abstract]:As a new market, whether or not to achieve weak efficient market has been an important topic in the theoretical circle. Due to the particularity of system and its unique cultural characteristics, The Chinese stock market has different market vision with the western developed countries. The study of market anomalies helps us to deepen our understanding of classical financial theories and to improve our understanding of Chinese stock market and investor behavior. Therefore, the study of the effectiveness of the Chinese stock market has great theoretical value and practical significance. Holiday effect, that is, whether there are abnormal phenomena of excess return and volatility before and after statutory holiday, including pre-holiday effect and post-holiday effect. Based on the theory of capital market efficiency and the literature review at home and abroad, this paper uses the data of Shanghai and Shenzhen 300 index yield from April 2005 to February 2014 to use descriptive statistics, combining with the actual situation of Chinese stock market. The existence and persistence of the holiday effect in Chinese stock market are studied by using the least square method including virtual variables and the three empirical test methods of GARCH model. The results show that there is a holiday effect in Chinese stock market, and the holiday effect of different holidays shows different forms. The Spring Festival, May Day and National Day have obvious pre-holiday effect, while New Year's Day has no obvious pre-holiday effect. After the Spring Festival holiday, the abnormal rate of return is obviously negative, and after the eleventh holiday there is a higher abnormal positive rate of return, while New Year's Day, after the May Day holiday, also shows a higher rate of return than that of the ordinary trading day.
【學(xué)位授予單位】：西北大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F832.51

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