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E-Commerce Letters 2025
我国A股市场月份效应研究
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Abstract:
本文以试点注册制为界，将中国股票市场按发展成熟程度的不同，将其划分为了两个不同时间阶段，并运用GARCH模型对两个阶段进行比较研究。根据实证结果显示：第一阶段沪深两市存在多个月份效应(一月、二月、十二月等)；第二阶段，中国证券市场的月份效应基本消失，向平稳发展过渡。由此可见，我国A股市场的月份效应是随着我国股市发展情况的改变而变化的，并对其原因进行了分析，得益于我国股市发行上市制度优化、信息披露制度和人民金融意识的提高，使得A股市场月份间波动率显著不同的特点逐渐消失，逐渐走向平稳发展的新阶段。
In this paper, the Chinese stock market is divided into two different time stages according to the maturity of the pilot registration system, and the GARCH model is used to compare the two stages. According to the empirical results, the first stage of the Shanghai and Shenzhen stock markets has a multi-month effect (January, February, December, etc.); In the second stage, the monthly effect of China’s securities market has basically disappeared and there has been a transition to steady development. It can be seen that the monthly effect of China’s A-share market is changing with the change of the development of China’s stock market, and the reasons for this are analyzed. Thanks to the optimization of China’s stock market issuance and listing system, the information disclosure system and the improvement of people’s financial awareness, the characteristics of the significant difference in the volatility of the A-share market between months have gradually disappeared, and gradually moved towards a new stage of stable development.
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