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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
Quote: 0
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Abstract


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