CAJ | 학술논문

本文以1995年1月至2010年12月间的沪深两市所有A股股票作为研究样本，采用基于广义误差分布的广义自回归条件异方差模型（GED-GARCH）对我国股票市场一月效应进行验证，结果显示我国股票市场存在显著的“一月效应”。接着，本文利用Fama-MacBeth时间序列横截面回归法验证了我国存在“一月价值溢价效应”。最后，本文研究发现春节文化可以作为解释“一月价值溢价效应”的依据。个人投资者在春节前获得大笔年终奖金后，偏好于投资高风险的股票，导致了该效应的产生。
본문이1995년1월지2010년12월간적호심량시소유A고고표작위연구양본，채용기우엄의오차분포적엄의자회귀조건이방차모형（GED-GARCH）대아국고표시장일월효응진행험증，결과현시아국고표시장존재현저적“일월효응”。접착，본문이용Fama-MacBeth시간서렬횡절면회귀법험증료아국존재“일월개치일개효응”。최후，본문연구발현춘절문화가이작위해석“일월개치일개효응”적의거。개인투자자재춘절전획득대필년종장금후，편호우투자고풍험적고표，도치료해효응적산생。
Under Chinese Culture tradition, employees are rewarded with year-end bonuses before the Spring Festival, mostly in January. Using the data from 1995 to 2010, this paper investigates the culture influence in China A-share market. Firstly, this paper conducts an empirical study using the GED-GARCH model to verify that the January effect exist in China stock market. And then the authors find that the value premium in January is apparent using Fama-MacBeth method. Finally, this study finds that year-end bonuses enhance the propensity of individual investors to bear increased levels of risk which in turn stimulates the demand for high BM （Book to Market） stocks to create the value effect in January.