本文選題：假口效應(yīng) + 日歷效應(yīng)　； 參考：《復(fù)旦大學(xué)》2012年碩士論文

【摘要】：自20世紀(jì)90年代以來(lái),我國(guó)的節(jié)假日經(jīng)歷了從雙休日制度、到黃金周假期以及增加多個(gè)傳統(tǒng)節(jié)假日的演變過(guò)程。根據(jù)行為金融學(xué)理論,投資者作為人的群體,存在著諸多非理性的行為,這使得股市受到群體性影響而表現(xiàn)出諸多異�，F(xiàn)象。假日效應(yīng)是金融市場(chǎng)異象的特殊表現(xiàn)形式,在股市中表現(xiàn)為節(jié)假日前后市場(chǎng)的異常波動(dòng)。 2008年,我國(guó)對(duì)節(jié)假日進(jìn)行了一次大的調(diào)整,將原本的“五一”黃金周拆散為多個(gè)小長(zhǎng)假,淡化了黃金周的概念。這次調(diào)整距今已有四年,之前所表現(xiàn)出的“長(zhǎng)假效應(yīng)”是否依然顯著?本文將結(jié)合行為金融學(xué)理論,分析假日效應(yīng)的深層次原因,并對(duì)我國(guó)股市進(jìn)行實(shí)證分析。 本文首先應(yīng)用EMD方法,驗(yàn)證我國(guó)股市存在假口效應(yīng)；然后,應(yīng)用GARCH模型,通過(guò)設(shè)置虛擬變量的方式,實(shí)證分析我國(guó)最近一次的節(jié)假日調(diào)整是否顯著影響到節(jié)假日效應(yīng)的顯著性；最后,結(jié)合我國(guó)節(jié)假日的日歷特征及行為金融學(xué)相關(guān)理論,分析我國(guó)金融市場(chǎng)節(jié)假日效應(yīng)的特點(diǎn)及其深層次原因。 實(shí)證研究表明,節(jié)假日效應(yīng)在我國(guó)股票市場(chǎng)具有顯著性。由于受到我國(guó)特有的文化風(fēng)俗、社會(huì)經(jīng)濟(jì)以及人格心理的影響,各個(gè)節(jié)假日表現(xiàn)出了不同的特點(diǎn),其中,假日前效應(yīng)較為穩(wěn)定,而假日后效應(yīng)存在顯著差異。
[Abstract]:Since the 1990s, the holidays in our country have experienced the evolution from the double weekend system to the Golden week holidays and the addition of many traditional holidays. According to behavioral finance theory, investors as a group of people, there are many irrational behavior, which makes the stock market by group influence and show a lot of abnormal phenomena. Holiday effect is a special form of financial market anomalies, which is characterized by abnormal market fluctuations before and after holidays in the stock market. In 2008, our country carried on a big adjustment to the holiday, took apart the original "May Day" golden week into several small long holidays, desalinated the concept of "Golden week". It has been four years since this adjustment. Is the "long vacation effect" still significant?. Based on the theory of behavioral finance, this paper analyzes the deep-seated reasons of holiday effect, and makes an empirical analysis of the stock market in China. This paper uses EMD method to verify the existence of false mouth effect in China's stock market, and then, by means of setting virtual variables, using GARCH model, empirically analyzes whether the latest holiday adjustment in China significantly affects the significance of holiday effect. Finally, based on the calendar characteristics of Chinese holidays and the related theories of behavioral finance, this paper analyzes the characteristics of holiday effect in Chinese financial market and its deep reasons. The empirical study shows that the holiday effect is significant in Chinese stock market. Due to the influence of Chinese unique cultural customs, social economy and personality psychology, different holidays show different characteristics. Among them, the pre-holiday effect is more stable, but the post-holiday effect is significantly different.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F830;F224

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