利用非参数方法对上海股市周末效应的研究

本文首先利用基本统计分析和Kolmogorov -Smirnov检验发现沪市指数收益率不服从正态分布 ,随后利用了K -W检验考察周末效应的存在性 ,利用M -W检验考察周末效应的模式 ,最后利用了Levene检验来对收益率序列的方差进行分析 ,得出上海股市存在“二、五”效应的结论。并从结算制度、信息流的影响、信息披露制度等方面分析了成因。

Study on weekend effect of shanghai stock market with non-parameter method

This article firstly finds the index return in Shanghai stock market doesn't conform to normal distribution with fundamental statistical analysis and Kolmogorov-Smirnov test. Then it uses Kruskal-Wallis test to evaluate the existence of weekend effect, Mann-Whitney test to evaluate the mode, and finally Levene test to evaluate the variance of return series. Conclusion is drawn that there is"Tuesday-Friday"effect in Shanghai market and the reasons are discussed in such aspects as clearing method,information flood effect and information exposure method.