摘要
本文以上证指数为研究对象,对股票市场换月效应与月末效应进行研究后发现,指数在月末最后一个交易日收益率波动率显著大于月平均收益率波动率,上证指数收益率存在显著的换月效应。这种现象可能与基金的窗饰效应有关。为了防止期货到期日效应与现货月效应及假日效应等重叠,增大现货市场的波动性,本文建议将股指期货合约最后交易日设在月中。
This study, based on Shanghai Stock Price Index volatility, reveals that volatility of profit margin on the last trading day of a month is significant higher than the mean return of other days, which indicates a marked turn-of-themonth-effect in the market. This effect may be the result of window dressing by the fund managing companies. To avoid the expiration-day effects of derivatives overlapping with monthly effect of cash market, the optimal last trading day of index futures is best set in mid-month.
出处
《证券市场导报》
CSSCI
北大核心
2006年第9期63-67,共5页
Securities Market Herald
关键词
换月效应
窗饰效应
最后交易日
股指期货
monthly effect, windows dressing, final trading day
index future
