- 學位論文
中國股市隔夜報酬率星期效應之研究
Day-of-the-week Effects of Overnight Returns in Chinese Stock Markets
摘要
本研究採用2001年1月至2020年10月的中國股票市場日資料，探討中國股市的隔夜報酬率是否存在星期效應。本研究也探討日內報酬率與隔夜報酬率之間的關係，以及EPU、VIX、SPY指數等對隔夜報酬率的影響。另外，本研究還加入國際重要股市進行分析，並與中國股市的結果進行比較。實證結果發現中國股市的各工作日之平均隔夜報酬率大多為負且存在著星期效應，其中又以星期二的隔夜報酬率最低。然而，國際股市各工作日之平均隔夜報酬率大多為正，而星期效應的結果較無一致性。中國股市的平均日內報酬率大多為正且具有星期效應，而國際股市則無一致性的結果。另一方面，中國股市日內報酬率與隔夜報酬率之間存在顯著的負向關係，而國際股市之結果則相反。最後，VIX指數（SPY指數報酬率）對中國股市的隔夜報酬率具有負向（正向）影響，而EPU指數對隔夜報酬率則無顯著之影響。國際股市大部分的結果也和中國股市的發現趨於一致。
並列摘要
This study investigates the day-of-the-week (DoW) effect of overnight returns in the Chinese stock markets from January 2001 to October 2020. Meanwhile, I examine the relationship between intraday returns and overnight returns as well as explore the impacts of economic policy uncertainty (EPU), VIX, and SPY returns on overnight returns. I also analyze major international stock indices and compare their results with those of the Chinese stock markets. Empirical results show that the average overnight returns in each weekday are mostly negative in the Chinese stock markets, where Tuesday’s overnight returns are the lowest. I also find evidence of DoW effects in the Chinese stock markets. In contrast, for international stock markets, the average overnight returns in each weekday are mostly positive, while the results of the DoW effects are mixed. The average intraday returns in each weekday are positive and there exist DoW effects in the Chinese stock markets, while results of intraday returns in international markets are mixed. For Chinese stock markets, intraday returns relate negatively to overnight returns, whereas this relationship becomes opposite in international stock markets. Finally, the VIX index (SPY index return) has a negative (positive) effect on overnight returns in the Chinese stock markets, while the effect of the EPU index on overnight returns is insignificant. In addition, most of the results obtained from international stock markets are consistent with those of the Chinese stock markets.