| 证券市场月交替效应实证分析及理论解释 |
| |
| 引用本文： | 陈超,刘国买.证券市场月交替效应实证分析及理论解释[J].武汉理工大学学报(信息与管理工程版),2007,29(4):145-148. |
| |
| 作者姓名： | 陈超 刘国买 |
| |
| 作者单位： | 1. 浙江万里学院,商学院,浙江,宁波,315100;中山大学,广东证券博士后工作站,广东,广州,510120
2. 福建工程学院,工程管理系,福建,福州,350014 |
| |
| 摘 要： | 对我国证券市场的月交替效应进行了检验，通过实证研究发现我国证券市场并不存在西方证券市场普遍存在的月交替效应，即每个月的前4个交易日和上个月的最后一个交易日的平均收益率高于其他交易日的平均收益率。我国的月交替效应是每个月的前6个交易日和上个月的最后一个交易日的平均收益率高于其他交易日的平均收益率。我国证券市场月初效应产生的主要原因是机构投资者选择在月末拉高所持股票的价格、上市公司和监管机构在月末披露信息和出台政策以及市场反应具有滞后性。
|
| 关 键 词： | 月交替效应 证券市场 收益率 |
| 文章编号： | 1007-144X(2007)04-0145-04 |
| 修稿时间： | 2006年11月26 |
An Investigation of the Turn-of-the-month Effect in Chinese Security Market |
| |
| CHEN Chao,LIU Guomai.An Investigation of the Turn-of-the-month Effect in Chinese Security Market[J].Journal of Wuhan University of Technology(Information & Management Engineering),2007,29(4):145-148. |
| |
| Authors: | CHEN Chao LIU Guomai |
| |
| Abstract: | This paper verifies the turn-of-the-month effect in the security market of China.It is found out that the turn-of-the-month effect in Chinese security market differs from those in western market.In china,the average rate of returns between the first six trading days and the last trading day is higher than those of other trading days.This effect can be mainly caused by the following reasons: 1) the investors who are financial firms consider the end of the month as a good time to raise the price of the stocks they hold;2) information is released at the end of each month by listed companies and the financial administrations;3) the market does not respond to the information in time. |
| |
| Keywords: | the turn-of-the-month effect security market ratio of income |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
