Dissertation
Dissertation > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market

Stock Market Monthly Effect

Author LiuHong
Tutor JiangYueXiang
School Zhejiang University
Course Finance
Keywords Efficient Market Hypothesis Monthly Effect January Effect Chinese market Threshold autoregressive model
CLC F832.51
Type Master's thesis
Year 2011
Downloads 196
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Based on the basis of the efficient market hypothesis (EMH) , the traditional financial theory is that stock prices should follow a random walk . However , at home and abroad and the growing number of empirical studies found that the stock market is the month of the calendar effects, effect , an important performance scholars have found that the stock market in the world 's major industrial countries \point of view, a return rate in January , the stock market is often a positive number , and a higher rate of return compared with other months , corresponding often show negative stock market returns in December , for this kind of market vision the presence of scholars think that with the U.S. market for tax loss assumptions \gather important holidays ( Thanksgiving, Christmas and New Year's Day ) at the end of the year . No monthly effect exists for the Chinese stock market , the domestic academia is still a lack of consensus . In this paper , the first review of the domestic and international research on the effects of the month , and then by the method of least squares (OLS) and threshold autoregressive model of regression processing (TARCH) , we found that the empirical results . Especially in the threshold from regression (TARCH) model empirical results show that the Shenzhen A-share market and the Shenzhen B -share market significantly in January and February of the positive returns of small-cap stocks , and for the four sub -type market , both the phenomenon of the high rate of return in the first half , the second half of the year , above market vision tentative given the explanation under the special market environment in China .

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