我国股市的日历效应--基于沪深300的星期效应研究
内容摘要：日历效应是指金融市场与日期相联系的非正常收益、非正常波动及其他非正常高阶矩，主要包括季节效应、月份效应、星期效应和假日效应，它们分别指金融市场与季节、月份、星期和假日有关的非正常收益、非正常二阶矩及其他非正常高阶矩。
作为市场异象之一,日历效应一直受到研究者的关注。日历效应的存在揭示了市场非有效性的深层原因,如信息的不完全和不对称、投资者的不完全理性等。因此,日历效应的研究,对于完善金融市场,提高股票市场效率,合理配置市场风险和收益,具有重要意义。此外,日历效应的研究可以为我国证券市场制度建设和信息披露形式提供有益的参考,促使监管部门设计出更加合理的市场制度,为市场健康、快速、有序的发展做出贡献。 本文采用沪深300指数作为样本，通过地对沪深300指数收益率的星期效应和月份效应进行实证研究,来探讨我国股市的日历效应。通过对研究结果进行分析,并就证券发行市场和交易市场的监管问题提出了一些看法。
关键词：日历效应，星期效应，月份效应，GARCH模型
The stock market of our country calendar effect -- Based on the CSI 300 week effect research
Abstract：Calendar effect refers to the financial market and the date is linked to abnormal returns, abnormal fluctuations and other abnormal high order moment, including seasonal effect, in effect, weekday effect and the holiday effect, which refers to the financial market and the season, month, week and holiday related to abnormal returns, abnormal moment of order two and other abnormal high order moment.
As one of the market anomalies, calendar effect has been the subject of attention. Calendar effects exist reveals the market inefficiency in the deep-seated causes, such as incomplete and asymmetric information, investors are not entirely rational. Therefore, the study of calendar effect, for perfecting the financial market, improve the efficiency of stock market, the rational allocation of market risks and benefits, have important sense.
In addition, calendar effect research for China's stock market system and information disclosure form to provide a useful reference, prompted regulators to design a more reasonable market system, market health, fast, orderly development. In this paper, the Shanghai and Shenzhen 300 index as the sample, through to the Shanghai and Shenzhen 300 index yields the week effect and the month effect empirical study, to explore China's stock market calendar effect. Based on the results of the analysis, and the issuance of securities market and the market supervision the problem offerred a few views.
Key words：Calendar effect, week effect, month effect, GARCH model
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