| 中国证券市场指数收益日照效应实证研究 |
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| 引用本文： | 韩泽县. 中国证券市场指数收益日照效应实证研究[J]. 哈尔滨工业大学学报, 2006, 38(2): 260-263,322 |
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| 作者姓名： | 韩泽县 |
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| 作者单位： | 天津大学,管理学院,天津,300072 |
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| 摘 要： | 心理学研究和因果关系直觉表明,阳光充足的天气与人们的乐观情绪相关.以深、沪两市1997~2002年间主要指数的日收益为样本,考察了沪、深两市日照与股指日收益的关系.结果表明,日照与股指收益存在稳定而显著的相关性,但基于日照效应的投资策略能产生统计上显著而经济上较温和的组合夏普比例提高,仅对低交易费用的交易者是有利可图的.以上结论难以用完全理性的价格行为来解释.
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| 关 键 词： | 行为金融 股指收益 投资者情绪 日照效应 |
| 文章编号： | 0367-6234（2006）02-0260-04 |
| 收稿时间： | 2004-07-13 |
| 修稿时间： | 2004-07-13 |
A study on sunshine effect of Chinese stock index returns |
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| HAN Ze-xian. A study on sunshine effect of Chinese stock index returns[J]. Journal of Harbin Institute of Technology, 2006, 38(2): 260-263,322 |
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| Authors: | HAN Ze-xian |
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| Affiliation: | School of Management, Tianjin University, Tianjin 300072, China, |
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| Abstract: | Psychological evidence and casual intuition predict that sunny weather is associated with an upbeat mood.This paper examines the relationship between morning sunshine in the cities of Shanghai and Shenzhen and the daily market index returns from 1997-2002.Sunshine is strongly and significantly correlated to market returns.Substantial use of weather based strategies was optimal for a trader with very low transaction costs.These findings are difficult to reconcile with fully rational price setting. |
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| Keywords: | behavioral finance index returns investor sentiment sunshine effect |
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