论文标题
每月股票市场收益的多维分析
Multidimensional Analysis of Monthly Stock Market Returns
论文作者
论文摘要
这项研究检查了土耳其和美国股票市场指数的月度回报，以调查这些市场在日历年的一些月中是否经历异常收益。这项研究中使用的数据包括1996年1月至2014年8月之间的212个观察结果。我应用统计摘要分析，分解技术，虚拟变量估计和二进制逻辑回归来检查月度市场异常。本文中使用的多维方法表明，针对每月收益的有效市场假设有弱的证据。虽然几个月倾向于显示异常回报，但在应用方法中没有绝对的一致性。然而，在四月份获得正回报后，土耳其股票可能会产生巨大的负面影响。在两个市场的12月，股票往往是看好的，但我们没有观察到Anya的重大影响。
This study examines the monthly returns in Turkish and American stock market indices to investigate whether these markets experience abnormal returns during some months of the calendar year. The data used in this research includes 212 observations between January 1996 and August 2014. I apply statistical summary analysis, decomposition technique, dummy variable estimation, and binary logistic regression to check for the monthly market anomalies. The multidimensional methods used in this article suggest weak evidence against the efficient market hypothesis on monthly returns. While some months tend to show abnormal returns, there is no absolute unanimity in the applied approaches. Nevertheless, there is a strikingly negative May effect on the Turkish stocks following a positive return in April. Stocks tend to be bullish in December in both markets, yet we do not observe anya significant January effect is not observed.
