摘要
该文以我国A股市场等权重和流通市值加权收益率为研究对象,利用虚拟变量法对“3月、12月效应”进行统计检验,发现3月的平均收益率高于其他月份,12月的平均收益率低于其他月份。控制了股票的3个风险特征——β系数、公司规模和账面/市值比后,月份效应依然显著,这说明这种季节性规律是整个市场的行为。为了解释月份效应,文章提出了“消费习惯假说”,认为元旦和春节期间的消费高峰是造成3月和12月效应的原因,实证中消费增长率与股市收益率的负相关关系有力地支持了这一假说。
Employing dummy variable regression, this paper investigates month effects in China's A share stock market. By analyzing equally weighted and circulation value-weighted monthly returns from 1995 to 2004, it finds that returns in March are higher than in other months and returns in December are lower. After controlling firms' risk characteristics, including β, firm size and ME/BE ratio, month effects are still obvious. It can be concluded that such seasonality is a broad market phenomenon. Thus it puts forward that peak consumption habit between the Gregorian and Lunar New Year holiday is the causality of month effects, and this conjecture is supported by the empirical negative correlation between consumption growth rates and stock market returns.
出处
《中山大学学报（社会科学版）》
CSSCI
北大核心
2007年第3期97-104,共8页
Journal of Sun Yat-sen University(Social Science Edition)
