中国股市的回报季节性

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal Pub Date : 2024-06-01 DOI:10.1016/j.pacfin.2024.102391

Chen Meng , Qingjie Du , Haibing Shu

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引用次数: 0

摘要

我们记录了中国股市强烈的股票回报季节性。在某一日历月表现良好的股票，在未来的同一日历月也会继续表现良好。此外，在其他月份也会出现回报反转，这表明股票回报季节性更可能是由暂时性错误定价驱动的。我们的研究结果延伸了 Keloharju 等人（2021 年）对美国市场的研究，并表明回报季节性在发达市场和新兴市场都普遍存在。更重要的是，我们强调临时错误定价是回报季节性的共同驱动因素，与不同市场的市场条件和发展状况无关。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Return seasonalities in the Chinese stock market

We document strong stock return seasonalities in the Chinese stock market. Stocks performing well in a certain calendar month continue to perform well in the same calendar month in future. Furthermore, there follows a return reversal in other months, suggesting that the stock return seasonalities are more likely to be driven by temporary mispricing. Our results extend Keloharju et al. (2021) which examines the U.S. market and we show that the return seasonalities are pervasive in both developed and emerging markets. More importantly, we highlight the temporary mispricing as the common driver of return seasonalities, regardless of market conditions and development status in different markets.

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来源期刊

Pacific-Basin Finance Journal BUSINESS, FINANCE-

CiteScore

6.80

自引率

6.50%

发文量

157

期刊介绍： The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.