Monthly Effect of Chinese Stock Market

被引：0

作者：

Xu Feng ^{[1
]}

Li Yunlong ^{[2
]}

机构：

[1] South China Univ Technol, Res Ctr Financial Engn, Guangzhou, Guangdong, Peoples R China

[2] South China Univ Technol, Financial Dept, Guangzhou, Guangdong, Peoples R China

来源：

2012 2ND INTERNATIONAL CONFERENCE ON APPLIED SOCIAL SCIENCE (ICASS 2012), VOL 3 | 2012年

关键词：

Monthly effect; Stock market efficiency; time series analysis;

D O I：

暂无

中图分类号：

C [社会科学总论];

学科分类号：

03 ; 0303 ;

摘要：

The paper mainly studied the monthly effect and efficiency of Chinese stock market. On the basis of testing real data of time series characteristics of Shanghai Stock Index, the time series dynamics model of stock returns in Chinese stock market was established, parameters of the model were estimated and the monthly returns of the market was analyzed in detail. Through empirical analysis, it is concluded that Chinese stock market is not a strong efficient market because there existed March effect, May effect and September effect significantly.

引用

页码：300 / +

页数：2