中国证券市场周末效应研究

中国管理科学 ›› 2002, Vol. ›› Issue (2): 92-95.

中国证券市场周末效应研究

范钛¹, 张明善²

1. 西南交通大学经济与管理学院四川成都 610041;
2. 西南民族学院经济与管理学院四川成都 610041

收稿日期:2001-03-09 修回日期:2001-10-12 出版日期:2002-04-28 发布日期:2012-03-06
基金资助:
国家自然科学基金资助项目(70102008);四川省杰出青年科学基金资助项目(2001)

Study on Weekend Effect in China’s Stock Market

FAN Tai¹, ZHANG Ming-shan ²

1. Economics and Management school, Southwest Jiaotong University, Chengdu 610041, China;
2. Economics and Management school, Southwest University of Nationality, Chengdu 610041, China

Received:2001-03-09 Revised:2001-10-12 Online:2002-04-28 Published:2012-03-06

摘要/Abstract

摘要： 周末效应作为一种各国证券市场共有的市场异例现象,在EMH的研究中具较重要的研究价值和地位,受到西方学术界的广泛关注和探讨。本文以标准的随机游走模型为基础,利用沪深股票市场近十年的历史数据,对中国证券市场是否存在“周末效应”进行实证检验和分析,并据此对中国证券市场是否达到弱式有效性提出自己的看法。

关键词: 市场异例, 周末效应, 随机游走, 弱式有效市场

Abstract: The weekend effect,together with other marker effect(such as P/E effect and small sized company effect)is called Market Anomalies,which play a very important role in the study of efficient market hypos(EMH). Based on the standard random walking model,we use the latest data of Shanghai and Shenzhen stock market to do an empirical study,in order to find out the existence of a weekend effect in China’s stock market.We also provide some useful suggestion on whether China’s stock market has reached the status of "weak form of efficient market".

Key words: market anomalies, weekend effect, random walking, weak form of efficient market

中图分类号:

C931
F832

范钛, 张明善. 中国证券市场周末效应研究[J]. 中国管理科学, 2002, (2): 92-95.

FAN Tai, ZHANG Ming-shan . Study on Weekend Effect in China’s Stock Market[J]. Chinese Journal of Management Science, 2002, (2): 92-95.