There is positive abnormal return on tuesday and friday , but negative abnormal return on monday and thursday 6 . there is weak monthly effect . there is weak january effect in both market and the joint significance test has reached the 10 % level ( 6 )滬深兩個市場都存在月歷效應,雖然不顯著,但在所得到的回歸結果中,兩個市場在一月份都有負的超額收益率,表現出了一月效應,而且聯合檢驗的顯著性水平達到了10
As this special month is always january in lots of stock markets , we also call it january effect . sometimes the special month is october , and it is called mark twin effect . similarly , day of week effect is that the mean returns of special days of a week are different from normal returns 月歷效應是指持久存在的某月份的股市非正常收益,包括一月效應和馬克吐溫效應等;周歷效應是指持久存在的某周歷日的股市非正常收益,包括周末效應、周一效應等。
Second , for the reasons of the profits of the momentum or contrarian strategies , we find : ( 1 ) momentum or contrarian strategies exhibit an interesting pattern of seasonality in china stock market different from january effect found in mature market , which seems to exist a link with the cycle of disclosure of accounting information for fiscal year 其二,就中國股市中慣性與反向效應之潛在成因而言, ( 1 )中國股市的慣性與反向效應表現出特殊的季節效應特征,似乎更有可能與上市公司目前的年報報表披露周期所形成的平均循環長度相關聯。
We found the model which established by fama and french is suitable for chinese stock market . then we test the so - called ‘ new - year effect ’ . we drew the conclusions that the m / l and b / l portfolios have the ‘ january effect ’ and the m / m portfolio has the ‘ february effect ’ . the coefficient of three - factor model is an important systemic risk guideline of investment object 對f / f的三因素模型的應用而言,模型的擬合程度,模型回歸系數的顯著性以及在動態投資過程中,模型回歸系數的穩定性等對模型的實際應用起到非常重要的作用。
百科解釋
The January effect is a calendar-related market anomaly in the financial market where financial security prices increase in the month of January. This creates an opportunity for investors to buy stock for lower prices before January and sell them after their value increases.