ISSN 1008-2204
CN 11-3979/C

中国证券市场指数收益天气效应实证研究

韩泽县

韩泽县. 中国证券市场指数收益天气效应实证研究[J]. 北京航空航天大学学报社会科学版, 2005, 18(2): 10-14.
引用本文: 韩泽县. 中国证券市场指数收益天气效应实证研究[J]. 北京航空航天大学学报社会科学版, 2005, 18(2): 10-14.
HAN Ze-xian. Study on Weather Effect of China's Stock Index Returns[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2005, 18(2): 10-14.
Citation: HAN Ze-xian. Study on Weather Effect of China's Stock Index Returns[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2005, 18(2): 10-14.

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
    作者简介:

    韩泽县(1971-),男,河北广宗县人,博士研究生,研究方 向为宏观经济与金融.

  • 中图分类号: F830.91

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。
    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.
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出版历程
  • 收稿日期:  2004-08-01
  • 发布日期:  2005-06-24

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