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  本文關鍵詞：我國A股市場不同公司規(guī)模的季節(jié)效應研究　出處：《湖南大學》2012年碩士論文　論文類型：學位論文

  更多相關文章： 市場異象 季節(jié)效應 規(guī)模效應 規(guī)模溢價

【摘要】：1970年，Fama首次定義了有效市場的概念，他指出在有效市場中，無論選擇哪種證券或證券組合，證券投資者均只能獲取與該證券或證券組合投資風險相當的正常收益率，而不能獲得超額收益。最近幾十年來，對證券市場收益率異象的研究己經成為對市場有效性研究的重點，而收益率的季節(jié)效應和規(guī)模效應是其中兩個重要的市場異象。 季節(jié)效應是指與季節(jié)相聯系的股票市場非正常收益，包括了季度，月歷，周歷等。規(guī)模效應是指股票投資收益率隨公司相對規(guī)模的上升而下降,尤其是市值較小的公司股票投資收益率超過市場平均水平的現象，又稱為“小公司效應”。西方學者對這兩個市場異象做了很深入的研究，也得到了很多結論，但以往的研究都較少考慮二者的關聯性。本文從中國股票市場公司規(guī)模角度研究中國股市的季節(jié)效應問題，通過本文的研究可以進一步檢驗中國股票市場的規(guī)模性和季節(jié)性行為，也使我們能夠更深入透徹地了解造成規(guī)模性和季節(jié)性運動的原因。與西方發(fā)達國家相比，中國的股票市場是一個新興的市場，，因此中國股票市場的規(guī)模性和季節(jié)性行為可能與其他國家和地區(qū)不同，這也是本文的研究意義所在。 本文從公司規(guī)模的角度重點研究我國A股市場的季節(jié)效應，選用滬、深兩市2000年1月1日前上市的所有個股股票為研究樣本，選取2000年1月4日至2011年12月31日為研究總樣本期間。文章首先用DF和ADF檢驗對樣本時間序列進行了單位根檢驗，發(fā)現所有樣本序列均為平穩(wěn)序列。然后，對它們進行ARCH-LM檢驗，發(fā)現日收益率不具有ARCH效應，而月收益率和季收益率具有明顯的ARCH效應。根據檢驗的結果，本文采用GARCH模型對不同公司規(guī)模收益率的季節(jié)性效應和月歷效應進行檢驗，得出我國A股市場存在一月效應和二月效應，而一月效應和二月效應的存在導致了春季效應；采用線性回歸模型對不同公司規(guī)模的周歷效應進行檢驗得出我國A股市場存在周一效應；同時本文引入規(guī)模溢價這一指標研究分析了規(guī)模效應和季節(jié)效應的關聯性，并對各個實證結果給出了解釋。最后對結論進行總結及提出進一步研究的重點。
[Abstract]:In 1970, Fama first defined the concept of efficient markets, pointing out that in efficient markets, whatever securities or portfolio is chosen. Investors in securities can only earn a normal rate of return comparable to the risk of a security or portfolio investment, rather than an excess return. The study of yield anomalies in securities market has become the focus of the research on market efficiency, and the seasonal effect and scale effect of yield are two important market anomalies. Seasonal effect refers to the abnormal return of the stock market associated with the season, including quarter, calendar, calendar, etc. The scale effect refers to the decline of the return on stock investment with the increase of the relative scale of the company. In particular, the phenomenon that the return on stock investment of market value's small company exceeds the market average is also called "small firm effect". Western scholars have made a very deep research on these two market anomalies, and got a lot of conclusions. However, previous studies have seldom considered the correlation between the two. This paper studies the seasonal effect of Chinese stock market from the perspective of company size in Chinese stock market. Through the research of this paper, we can further test the scale and seasonal behavior of Chinese stock market, and also make us understand the causes of scale and seasonal movement more thoroughly, compared with the western developed countries. China's stock market is a new market, so the scale and seasonal behavior of Chinese stock market may be different from other countries and regions, which is also the significance of this study. This paper focuses on the seasonal effect of A share market in China from the perspective of company size, and selects all stocks listed in Shanghai and Shenzhen stock markets before January 1st 2000 as the research samples. During the period from January 4th 2000 to December 31st 2011, the sample time series were tested with DF and ADF test. It is found that all the sample sequences are stationary sequences. Then, the ARCH-LM test shows that the daily return rate does not have the ARCH effect. The monthly rate of return and the quarterly rate of return have obvious ARCH effect. According to the results of the test, this paper uses the GARCH model to test the seasonal effect and calendar effect of the return on different companies. It is concluded that there are January effect and February effect in Chinese A-share market, while January effect and January effect lead to spring effect. Using the linear regression model to test the cycle calendar effect of different company size, we can find out that there exists Monday effect in the A-share market of our country. At the same time, this paper introduces the scale premium as an index to analyze the correlation between scale effect and seasonal effect, and gives an explanation of each empirical result. Finally, the conclusion is summarized and the key points of further research are put forward.
【學位授予單位】：湖南大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

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