中国A股市场月份效应实证检验

“时间效应”是指股票市场会在某些特定的时间段中有规律的呈现出异常的走势.“时间效应”又包括“周效应”和“月份效应”等,其中“月份效应”则是指股票价格在一月份通常存在一个急剧上涨的趋势,通常也称为“元月效应”.在市场有效假设下,价格服从随机游走过程.但是在20世纪7

Monthly effect in the chinese stock markets

On the basis of efficient markets hypothesis,the stock price should follow Random Walk.But most researches of western countries showed the existence of "Monthly Effect".This study examines the "Monthly effect" in the Chinese stock markets from 1995 to 2005.For Shanghai stock markets,we find no evidence for a significant positive "January effect" which has been shown to be a persistent anomaly in most industrial stock markets and emerging stock markets.However,we find strong evidence that a significant positive "March effect" and negative "December effect" exists in Shanghai stock markets.Our findings may indicate inefficiency in Shanghai stock markets.