经济经纬
經濟經緯
경제경위
Economic Survey
2009年
6期
~
,共null页
GARCH-M模型 单位根 传统节日 法定节日
GARCH-M模型 單位根 傳統節日 法定節日
GARCH-M모형 단위근 전통절일 법정절일
GARCH-M model; unit root; traditional holiday; legal holiday;
研究表明中国股市具有显著的节日效应,并以中国传统节日的节日效应最大,圣诞节在中国股市的节日效应不显著。通过比较2008年前的并不休市的传统节日和休市的法定节日的节日效应,可以检验一直难以检验的"节日效应是由休市造成的"这一说法,结果表明休市对节日效应影响不大。
研究錶明中國股市具有顯著的節日效應,併以中國傳統節日的節日效應最大,聖誕節在中國股市的節日效應不顯著。通過比較2008年前的併不休市的傳統節日和休市的法定節日的節日效應,可以檢驗一直難以檢驗的"節日效應是由休市造成的"這一說法,結果錶明休市對節日效應影響不大。
연구표명중국고시구유현저적절일효응,병이중국전통절일적절일효응최대,골탄절재중국고시적절일효응불현저。통과비교2008년전적병불휴시적전통절일화휴시적법정절일적절일효응,가이검험일직난이검험적"절일효응시유휴시조성적"저일설법,결과표명휴시대절일효응영향불대。
The research shows that Chinese stock market has notable holiday effect.The traditional holidays have the biggest holiday effect and Christmas does not have obvious holiday effect in Chinese stock market.By comparing the holiday effects of traditional holidays for which the stock market did not break and legal holidays for which the stock market broke before 2008,the bilief that "holiday effect is caused by business breaks" can be tested.The result shows that business breaks do not influence holiday effect ...
