论文标题
中国股票市场的太阳术语异常：上海指数的证据
Solar Term Anomaly in China Stock Market: Evidence from Shanghai Index
论文作者
论文摘要
本文研究了中国股票市场的太阳能效应，以补充现有的calender效应文献。基于回归框架，本文在多个维度上验证了上海指数中太阳项效应的存在：太阳术期分析，平均水平和风险水平的完整样本分析以及太阳期限效应的转弯。已经发现几个太阳项会对回报产生明显的正值和负值，例如太阳项1,3和4。并带来高波动性，例如太阳项8、11和14。在极端界限分析和igarch模型中错误分布的各种假设下，结果是可靠且可靠的。这些发现为读者提供了新的观点，可以在中国传统文化的影响下查看稳定的效果，这些文化通过影响投资者的情绪，期望，热情等来影响市场，这是陈恩和基恩提出的文化奖励假设以及中国文化在其他亚洲市场中可能影响的文化奖励假设的良好证据。
This paper investigates the solar term effect in China stock market as a supplementary to the existing literature of calender effect. Based on a regression framework, this paper verifies the existence of solar term effect in Shanghai Index in multiple dimensions: inter-solar-term analysis, full sample analysis at mean level and risk level as well as the turn of solar term effect. Several solar terms have been found to cause significant positive and negative value to the return such as solar term 1,3 and 4. and bring high volatility such as solar term 8, 11 and 14. The result is reliable and robust under the Extreme Bound Analysis and various assumptions of errors distribution in IGARCH model. These findings give readers a new perspective to view calender effect under the influence of traditional Chinese culture that solar terms affect the market through affecting investors mood, expectation, enthusiasm, etc. which is a good evidence to the Culture bonus hypothesis proposed by Chen and Chien and the possible influence by the Chinese culture in other Asian markets.
