發(fā)布時間：2018-04-30 18:01

  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,我國的節(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傳統(tǒng)節(jié)假日的演變過程。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)假日前后市場的異常波動。 2008年,我國對節(jié)假日進(jìn)行了一次大的調(diào)整,將原本的“五一”黃金周拆散為多個小長假,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,并對我國股市進(jìn)行實證分析。 本文首先應(yīng)用EMD方法,驗證我國股市存在假口效應(yīng)；然后,應(yīng)用GARCH模型,通過設(shè)置虛擬變量的方式,實證分析我國最近一次的節(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,分析我國金融市場節(jié)假日效應(yīng)的特點及其深層次原因。 實證研究表明,節(jié)假日效應(yīng)在我國股票市場具有顯著性。由于受到我國特有的文化風(fēng)俗、社會經(jīng)濟(jì)以及人格心理的影響,各個節(jié)假日表現(xiàn)出了不同的特點,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)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F830;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 儀垂林,劉淄;上海股市法定節(jié)日及傳統(tǒng)節(jié)日效應(yīng)的實證研究[J];財經(jīng)科學(xué);2005年05期

2 楊云飛;鮑玉昆;胡忠義;張瑞;;基于EMD和SVMs的原油價格預(yù)測方法[J];管理學(xué)報;2010年12期

3 李占猛;中國股票市場長假效應(yīng)研究[J];管理現(xiàn)代化;2004年03期

4 黃樹青;行為金融學(xué)與數(shù)理金融學(xué)論爭[J];經(jīng)濟(jì)學(xué)動態(tài);2002年01期

5 宋頌興，金偉根;上海股市市場有效實證研究[J];經(jīng)濟(jì)學(xué)家;1995年04期

6 丁志宏;謝國權(quán);;金融時間序列多分辨率實證研究的EMD方法[J];經(jīng)濟(jì)研究導(dǎo)刊;2009年06期

7 俞喬;市場有效、周期異常與股價波動——對上海、深圳股票市場的實證分析[J];經(jīng)濟(jì)研究;1994年09期

8 奉立城;中國股票市場的“周內(nèi)效應(yīng)”[J];經(jīng)濟(jì)研究;2000年11期

9 陳守東,孟慶順,楊興武;中國股票市場的有效性檢驗與分析[J];吉林大學(xué)社會科學(xué)學(xué)報;1998年02期

10 張亦春,周穎剛;中國股市弱式有效嗎?[J];金融研究;2001年03期

，

本文編號：1825597