论文部分内容阅读
文章利用上证综合指数和深圳成分指数的数据,采用基本统计分析、参数方法和非参数方法(Kolmogorov -Smirnov检验、Kruskal-Wallis检验、Mann-Whitney检验)对沪深股市的月份效应和月初效应进行了实证分析。结果表明,沪深股票市场均不存在收益率的月份效应,而存在显著的月初效应,在样本期内,两市从前一交易月的最后一个交易日到本交易月的第六个交易日期间的日平均收益率显著为正,并且远远高于剩余交易日的日平均收益率。
Using the data of Shanghai Composite Index and Shenzhen Component Index, the article analyzes the monthly and monthly effects of Shanghai and Shenzhen stock markets by using the basic statistical analysis, parametric method and non-parametric method (Kolmogorov-Smirnov test, Kruskal-Wallis test and Mann-Whitney test) Empirical analysis. The results show that there is no monthly effect on the stock market in Shanghai and Shenzhen Stock Exchanges, but there is a significant early effect. During the sample period, the last two trading days from the previous trading month to the sixth trading day of the trading month The average daily rate of return is significantly positive, and well above the average daily rate of return on the remaining trading days.