| 中国证券市场指数收益天气效应实证研究 |
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| 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. |
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| 作者姓名： | 韩泽县 |
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| 作者单位： | 天津大学,管理学院,天津,300072 |
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| 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。
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| 关 键 词： | 证券市场 指数收益 天气效应 |
| 文章编号： | 1008-2204(2005)02-0010-05 |
| 收稿时间： | 2004-08-02 |
| 修稿时间： | 2004年8月2日 |
Study on Weather Effect of China's Stock Index Returns |
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| 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. |
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| Authors: | HAN Ze-xian |
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| Institution: | Management School, Tianjin University, Tianjin 300072, China |
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| 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 between the weather effect and the daily returns. The survey reveals that sunshine is closely correlated to market returns. Considering that the investment strategy can yield an economically mild sharp statistic increase, substantial application of weather-effect strategies is only profitable to dealers with low transaction expense,which is difficult to interpret within a fully rational price setting. |
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| Keywords: | financial market market index returns weather effect |
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