中国证券市场指数收益天气效应实证研究

基金项目: 国家杰出青年科学基金资助项目(70225002)

详细信息

Study on Weather Effect of China's Stock Index Returns

Funds: 国家杰出青年科学基金资助项目(70225002)

摘要: 以深、沪两市1997～2002年间主要指数的日收益为样本,考察了沪深两市天气与股指日收益的关系。结果表明,日照与股指收益存在稳定而显著的相关性,但基于天气效应的投资策略能产生统计上显著而经济上较温和的组合夏普比例提高,仅对低交易费用的交易者是有利可图的。以上结论难以用完全理性的价格行为来解释。
- 证券市场 /
- 指数收益 /
- 天气效应
Abstract: Sampling the daily market index returns on stock market in the cities of Shang- hai and Shen-zhen from 1997 to 2001, this paper examines the relationship betw een the weather effect and the daily returns. The survey reveals that sunshine i s closely correlated to market returns. Considering that the investment strategy can yield an economically mild sharp statistic increase, substantial applicati on of weather-effect strategies is only profitable to dealers with low transact ion expense,which is difficult to interpret within a fully rational price setti ng.
- financial market /
- market index returns /
- weather effe ct

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