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基于近年来我国股市频频出现“红十月”现象,本文以从2009年10月9日至2017年3月17日的上证指数和深证成指的日收益率为研究对象,建立虚拟变量回归方程,检验我国股市十月份日收益率是否显著高于其它月份,以证明我国是否存在“红十月效应”。实证检验发现在25%的置信区间内,十月份的股市日收益率显著高于其它九个月份的日收益率,证明我国股市存在微弱的“红十月效应”。
Based on the frequent “Red October” phenomenon in China’s stock market in recent years, this article takes the daily returns of the Shanghai Composite Index and Shenzhen Component Index from October 9, 2009 to March 17, 2017 as the research object, and establishes the virtual Variable regression equation to test whether China’s stock market daily return in October was significantly higher than the other months in order to prove whether there is a “red October effect.” Empirical test found that in 25% confidence interval, the daily return of stock market in October was significantly higher than the other nine-day daily rate of return, proving that there is a weak “red October effect” in China’s stock market.