改革
改革
개혁
Reform
2011年
7期
130~137
,共null页
股票市场 上市公司规模 上市公司节日效应
股票市場 上市公司規模 上市公司節日效應
고표시장 상시공사규모 상시공사절일효응
stock market; listed company size; listed company holiday effect
利用1996-2010年沪深A股按流通市值分组数据，实证研究了公司规模与节日效应的关系。结果表明：仅大规模组存在节前效应。任何一个规模组都存在节后效应；所有规模组的节前或节后收益率不存在显著差异，但最大和最小规模组的收益率差异存在节前效应，而非节后效应；星期效应、月度更替效应和风险不能完全解释节日效应。这说明规模因素仅能为节前效应提供一定的解释。
利用1996-2010年滬深A股按流通市值分組數據，實證研究瞭公司規模與節日效應的關繫。結果錶明：僅大規模組存在節前效應。任何一箇規模組都存在節後效應；所有規模組的節前或節後收益率不存在顯著差異，但最大和最小規模組的收益率差異存在節前效應，而非節後效應；星期效應、月度更替效應和風險不能完全解釋節日效應。這說明規模因素僅能為節前效應提供一定的解釋。
이용1996-2010년호심A고안류통시치분조수거，실증연구료공사규모여절일효응적관계。결과표명：부대규모조존재절전효응。임하일개규모조도존재절후효응；소유규모조적절전혹절후수익솔불존재현저차이，단최대화최소규모조적수익솔차이존재절전효응，이비절후효응；성기효응、월도경체효응화풍험불능완전해석절일효응。저설명규모인소부능위절전효응제공일정적해석。
This paper investigates the relation between firm sizes and holiday effects using the grouped data by tradable market values of listed companies in Shanghai and Shenzhen A-share markets from 1996 to 2010. It turned out that the pre-holiday effect is only pronounced for the large size portfolios, and the post-holiday effect is pronounced for any one of the portfolios. The difference in pre- or post-holiday returns is not present. The difference in returns between the largest and smallest exhibits the pre-holiday effect, and no post-holiday effect. The holiday effect is not explained by the-day-of-the week effect, the-turn-of-the-month effect and the risk factor. The results reveal that the firm size is able to explain the pre-holiday effect to a certain extent.
