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基于不同规模指数的中国股票市场周内效应异质性

李文辉1,王竟竟2   

  1. 1. 湖南人文科技学院数学与金融学院, 娄底 417000;2. 中南大学商学院,长沙 410083
  • 出版日期:2021-06-25 发布日期:2021-09-17

李文辉, 王竟竟. 基于不同规模指数的中国股票市场周内效应异质性[J]. 系统科学与数学, 2021, 41(6): 1682-1692.

LI Wenhui, WANG Jingjing. Heterogeneity of Day-of-the-Week Effect in Chinese Stock Market Based on Different Scale Indexes[J]. Journal of Systems Science and Mathematical Sciences, 2021, 41(6): 1682-1692.

Heterogeneity of Day-of-the-Week Effect in Chinese Stock Market Based on Different Scale Indexes

LI Wenhui1 ,WANG Jingjing2   

  1. 1. School of Mathematics and Finance, Hunan University of Humanities, Science and Technology, Loudi 417000; 2. School of Business, Central South University, Changsha 410083
  • Online:2021-06-25 Published:2021-09-17
周内效应的存在对股票市场有效性提出了重大挑战, 而目前对其异质性的研究较少. 文章建构$AR(1)-GARCH(1,1)$模型, 探究了中国不同规模指数周内效应的异质性. 结果显示, 大盘蓝筹股指数周内效应相对中小盘股票指数显著较弱, 且两者的周内效应规律也存在较大差异. 大盘蓝筹股存在``负周三''效应, 而中小盘股票存在``正周一''和``正周二''效应. 市场情绪对的中国股票市场周内效应的影响不显著,而个人投资者才是影响中小盘股票指数周内效应的主要原因. 该结论为优化投资者结构和开展投资者分类监管提供了依据.
The Day-of-the-Week effect brings a big challenge to Efficient Market Hypothesis, but there are few studies on its heterogeneity. Therefore, we constructed $AR(1)-GARCH(1,1)$ model to explore this problem based on different scale indexes. The results indicate that, the Day-of-the-Week effect of Blue-Chip Index is weaker than the Small and Medium Cap Stock Index, meanwhile, the regularity is different too. The ``Negative Wednesday'' effect is prone to the Blue-Chip Index, whereas ``Positive Monday'' effect and ``Positive Tuesday'' effect are prone to the Small-and-Mid-Cap Stock Index. The influence of market sentiment on Day-of-the-Week effect in Chinese stock market is not significant while the individual investors affect the Small-and-Mid-Cap Stock Index a lot. The conclusion provides a basis for optimizing investor structure and the investor classification in Chinese stock market.
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