金融危机后上证市场春节效应检验

Testing the Spring Festival Effect in the Shanghai Stock Exchange Market after the Financial Crisis

摘要: 股票市场出现周末效应、一月效应等异象对有效市场假说提出了挑战，通常认为这些市场异象与投资者情绪等非理性因素有关。2008年金融危机改变了很多市场参与者对市场的看法，金融危机后股票市场的节日效应的表现和特征反应了我国股票市场的发展。本文通过对上证指数收益率数据建立GARCH (1, 1)模型，分析得到上证指数存在春节效应的结论，同时，对上证10个一级行业指数进行分析，得到不同行业春节效应有差异、春节的节后效应强于节前效应的结论。根据得到的结论，本文对监管当局和投资者提出建议。

Abstract: The emergence of anomalies such as weekend effects and January effects in the stock market challenges the efficient market hypothesis, and it is generally believed that these anomalies are related to irrational factors such as investor sentiment. The 2008 financial crisis changed the views of many market participants on the market. The performance and characteristics of the holiday effect in the stock market after the financial crisis reflect the development of China’s stock market. This article establishes a GARCH (1, 1) model based on the yield data of the Shanghai Composite Index, and analyzes the conclusion that there is a Spring Festival effect in the Shanghai Composite Index. At the same time, it analyzes the 10 primary industry indices of the Shanghai Composite Index, and concludes that there are differences in the Spring Festival effect among different industries, and that the post holiday effect of the Spring Festival is stronger than the pre holiday effect. Based on the conclusions obtained, this paper provides recommendations for regulatory authorities and investors.