月份效应

中国A股市场月份效应实证检验

Monthly effect in the chinese stock markets

艾米提出抗议，说有人骗取了她依法应得的份额。月份效应：运用不同计量模型得出相反实证结果

Amy protested she was being cheated of her rightful share . Monthly Effect : Getting Different Results with Different Econometrics Models of Chinese Stock Market

日历效应（calendareffects）是指证券市场出现的在某一特定时间进行交易可以获得超额收益率的现象，主要包括星期效应和月份效应。

Calendar effects are phenomena that excess returns associate with the specific trading date in securities market , which include day of the week effects , month of the year effects .

规模效应和月份效应因其与EMH假说和CAPM模型的矛盾，在股票市场异象研究中占据重要地位。

Because of the conflicts with EMH and CAPM , the size-effect and month-effect are often discussed in the literatures about market anomalies and plays an important role .

中国股市月份效应研究

Empirical Analyses of Monthly Effects in Chinese Stock Markets

我国股市换手率存在规模效应，即流通股本对过度交易程度有影响，不存在月份效应；

There is scale effect , without time effect of turnover rate in Chinese stock market .

日历效应包含周内效应、月份效应、月度轮换效应、节假日效应等。

Calendar effects include week effect , month effect , monthly rotation effect and holiday effect .

沪深股市月份效应和月初效应的实证研究

The Empirical Research of Month Effect and Beginning-of-a-Month Effect in Stock Markets in Shanghai and Shenzhen

以日历或者时间长短来区分，季节效应又可分为周末效应、月份效应、假期效应等。

According to the calendar or the length of time , the return seasonal effect includes weekend effect , monthly effect , holiday effect , and so on .

结果发现（1）三种期货品种都有显著的月份效应和到期日效应，但各品种的特征不相同；

Results are as follows : ( 1 ) All three futures species have remarkable monthly effect and settlement effect , but the characteristic of each species is different .

月份效应：运用不同计量模型得出相反实证结果我也许能在这个世纪的胜利中得到我应得的一份。

Monthly Effect : Getting Different Results with Different Econometrics Models of Chinese Stock Market ; I might have had my due share in the triumphs of this century .

这些可预测的模式被称之为市场异象，主要包含周内效应、周末效应、规模效应、市盈率效应、情绪效应、一月份效应、节日效应等等。

Market vision consists mainly of week effect , weekend effect , scale effect , price-earnings ratio effect , emotional effect , January effect , the holiday effect and so on .

从大量实证研究中我们发现，股票市场的规模效应和月份效应，是大多数西方工业化发达国家股票市场和一些新兴股票市场长期广泛存在的一种现象。

From the empirical study we find that , the size-effect and month-effect is a widely and long term existed phenomenon in many Western industrialized developed countries and some emerging stock market .

本文使用标准的计量方法检验上海A、B股和深圳A、B股是否存在周末效应、月份效应和假期效应。

The weekend effect , monthly effect and holiday effect in Shanghai A-share , B-share stock market and Shenzhen A-share , B-share stock market are studied with standard econometric methods in these thesis .

实证结果的最终结论是：在所研究的样本期，流动性溢价现象的月份效应存在但不稳定，这一异象的存在表明上海股市缺乏有效率。

The end conclusion of the empirical result is : the month effect about liquidity premium phenomenon is existent but unsteady in sample periods . Our findings may indicate inefficiency in Shanghai stock market .

各国专家和学者通过研究，发现了周末效应、月份效应和星期效应等现象，证明了各国资本市场均存在着效率缺陷。

Experts and academics find the " weekend effect ", " monthly effect " and " weekly effect " in most countries ' stock markets , which proves there are deficiencies in capital markets efficiency .

该现象的存在很难用现行的资产定价模型和市场有效性假设理论进行解释，因此规模效应和月份效应就作为股票市场上最重要的市场异象被众多西方金融经济学家所广泛关注。

The existence of the phenomenon is very difficult to explain by the existing asset pricing model and the efficient market hypothesis theory , so thesize effect and monthly effect as the stock market is the most important " market anomaly " by many western financial economists ' close attention .

通过不同月份的检验发现，中国股市不存在小公司一月效应，而是在3月份和8月份这一效应表现比较突出。

" Small firm effect " is more obvious in March and August , but not in January .