摘要
以深、沪两市1997～2002年间主要指数的日收益为样本,考察了沪深两市天气与股指日收益的关系。结果表明,日照与股指收益存在稳定而显著的相关性,但基于天气效应的投资策略能产生统计上显著而经济上较温和的组合夏普比例提高,仅对低交易费用的交易者是有利可图的。以上结论难以用完全理性的价格行为来解释。
<Abstrcat> Sampling the daily market index returns on stock market in the cities of Shang-hai and Shen-zhen from 1997 to 2001, this paper examines the relationship between the weather effect and the daily returns. The survey reveals that sunshine is closely correlated to market returns. Considering that the investment strategy can yield an economically mild sharp statistic increase, substantial application of weather-effect strategies is only profitable to dealers with low transaction expense,which is difficult to interpret within a fully rational price setting.
出处
《北京航空航天大学学报（社会科学版）》
2005年第2期10-14,共5页
Journal of Beijing University of Aeronautics and Astronautics：Social Sciences edition Edition
基金
国家杰出青年科学基金资助项目(70225002)
关键词
证券市场
指数收益
天气效应
financial market
market index returns
weather effect
