日历效应

当资本市场频繁出现诸如日历效应、IPO溢价、封闭式基金之迷等疑难病症时，标准财务理论显得力不从心和苍白无力。

When the capital market such as the calendar effect of frequent , IPO premium fan of closed-end funds and other " illnesses ", the standard financial theory appeared to be inadequate and feeble .

结果表明，中国基金市场存在一定的日历效应。

The evidence shows that there is calendar effect in Chinese stock market .

日历效应（calendareffects）是指证券市场出现的在某一特定时间进行交易可以获得超额收益率的现象，主要包括星期效应和月份效应。

Calendar effects are phenomena that excess returns associate with the specific trading date in securities market , which include day of the week effects , month of the year effects .

提出了用小波神经网络（WNN）来定量研究高频金融时间序列日历效应，通过比较发现WNN是比弹性傅立叶形式（FFF）回归技术更具优势的方法。

The paper proposes application of Wavelet Neural Network in high-frequency time series calendar effects ' study . At last , the paper proves that WNN is better than classical FFF regression .

本文在使用弹性傅立叶形式（FFF）回归技术消除日历效应的基础上，针对高频数据的波动长记忆性建立了长记忆SV模型，结果发现高频数据的波动持续性大大降低。

The paper uses Flexible Fourier Form Regression to fit the calendar effects , and constructs long memory SV model for Shanghai Stock Index . Through this research , it can be discovered that the volatility persistence of high frequency data is very low .

利用弹性傅立叶形式回归（FFF）技术对上海股市高频时间序列的日历效应进行了定量研究，发现与日本股市不同，上海股市的波动呈现日内单U型走势。

The paper studies calendar effects of Shanghai Stock Market quantitatively with Flexible Fourier Form regression based on high-frequency time series , and find out its volatility is a single U shape , which is different from volatility of Japanese Stock Market .

中国股票市场日历效应实证研究

The Empirical Research on Calendar Effects of Stock Returns in China

我们分别研究总体样本的日历效应和分区间样本的日历效应。

We studied both the overall sample calendar effect and the rolling sample calendar effects .

日历效应包含周内效应、月份效应、月度轮换效应、节假日效应等。

Calendar effects include week effect , month effect , monthly rotation effect and holiday effect .

日历效应是指在证券市场中的某一特定时期，投资者通过交易可以获得超额收益的现象。

Calendar effects are the phenomenon that investors can obtain excess returns in some particular period .

与低频数据不同，高频数据通常具有日历效应和波动长记忆性。

Unlike low frequency data , high frequency data has the calendar effects and long memory volatility .

开放式基金净值增长率被拉升了吗？&中国证券市场日历效应检验

Are Returns of Opened End Funds Inflated ? & An Analysis of Calendar Effect in the Chinese Stock Markets

作为市场异象之一，日历效应的存在对有效市场假说产生了挑战，为了证明日历效应的存在以及对其进行解释，众多学者对世界各国的金融市场进行了相关研究。

As one of the market anomalies , the calendar effects have brought a challenge to the efficient market hypothesis .

但有效市场假说在实践中，无法解释股票价格过度波动、股权溢价之谜、日历效应等各种异象。

However , efficient market hypothesis has failed to explain anomalies like the equity premium puzzle , calendar effect , acute fluctuation of stock price , ect .

国内外学者对日历效应的研究很多，早期的研究主要集中于研究美国等发达资本主义国家股票市场的周末效应和一月效应。

The early research are mainly focused on weekend effect and January effect in stock markets of the developed capitalist countries , such as the United States ' .

高频数据“日历效应”是金融市场微观结构研究领域的重要发现，但是金融市场微观结构理论主要是从定性的角度研究“日历效应”。

High-frequency financial data analysis and modeling is a new research field in financial econometrics , and the calendar effects are most important discovery in financial market microstructure field .

然而股指期货合约的交割对沪深300现货指数市场是否产生影响，沪深300指数是否也存在日历效应？这些问题影响着股票市场的稳定和投资者的收益。

However , it is uncertain that weather the calendar effects exist in the Shanghai and Shenzhen 300 index or weather the delivery of stock index futures impacts the spot market .

在高频数据的基础上，利用弹性傅立叶形式回归技术，对上海股市的日历效应进行了定量研究，发现上海股市收益率的波动呈现日内单U型走势；

This paper studies calendar effect of Shanghai stock market quantitatively with flexible Fourier form regression based on high-frequency data , and finds out its volatility is a single U shape .

日历效应最初在研究股票的回报率时被发现，即某一个特定时间段的回报率显著高于或低于平均水平。

Calendar effects was found in the study of the initial rate of return on equity , which mean that a specific time period rate of return significantly above or below average return .

二十世纪八十年代中期以来，一些学者研究了其它国家的日历效应，同时研究的范围也从股票市场扩展到债券市场和期货市场。

Some scholars have studied the calendar effects of other countries since the middle of 1980s , the scope of the studies have extended from stock markets to bond markets and futures markets .

我国对股票市场日历效应的研究始于九十年代，研究集中于对上海和深圳股票综合价格指数收益率的研究。

The studies on calendar effects of stock markets in China begin in the 1990s , the studies are focused on the returns of Shanghai composite stock price index and Shenzhen composite stock price index .

日历效应的存在揭示了我国股票市场在信息披露制度和市场参与者行为等方面还不够成熟和完善，针对这些问题，本文提出了提高我国股票市场效率的几点建议。

The existence of calendar effects reveals that there 're some problems in information management and behavior of participants in China 's Stock Market , so some advice is stated in the last part of the thesis to improve the efficiency of China 's Stock Market .

行为金融学者们以更逼近真实市场行为的理论分析洞悉了资产价格反映过度和反应不足、动量效应、股权溢价之谜以及日历效应等等市场异象，并取得了一定的成果。

Behavioral finance scholars has been developing a new theory by better approaching the real insight into the theory of market anomaly , such as asset prices reflect the over-reaction and under-reaction , momentum effect , the equity premium puzzle and calendar effects , and so on .

中国证券市场指数的日历末效应分析

The Calendar Effect of Some Market Indices in Chinese Stock Market