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フルテキストURLD300011000003.pdf ( 5.2MB ) 公開日 2013-06-10
タイトル株式スタイルによる中国株式市場の上半期効果の検証
タイトルヨミカブシキ スタイル ニ ヨル チュウゴク カブシキ シジョウ ノ カミハンキ コウカ ノ ケンショウ
タイトル別表記The first half year of the chinese stock market effect by different styles of stock market
作成者田, 杰
作成者ヨミデン, ケツ
作成者別表記Jie, Tian
作成者所属山口大学大学院東アジア研究科
内容記述(抄録等)This paper is to examine the first half of the year effect in Chinese stock markets by Statistical Methods. In Chinese stock markets, the stock rate of return which was got from the first half of the year (January to June) is significantly higher than the second half of the year's(July to December).Also, the rate of return of the first half of the year is highr than the second half of the year's while the rate of return has been classified into two types which are daily rate of return on average and cumulative rate of return. The first half of the year effect is independent existence because the stock rate of return in the second half of the year is significantly above although classifying the rate of return from February to June which except January into daily rate of return on average and cu-mulative rate of return. The performance of the first half of the year is better than the second half of the year's while adjusting the scale effect of enterprises or PBR effect. And then, in order to bet-ter understand the characteristics of Chinese stock markets, we focused on industries in the stock market in China and examined the existence of the first half of the year effect. Finally, m order to make a more Convincing conclusion, We verified the differences of daily rate of return of Chinese stock markets between months in Statistics by Non-parametric method and use the fama-french3 factor model of the effect of the Chinese stock market in the first half.
本文言語jpn
資料タイプtext
ファイル形式application/pdf
出版者山口大学大学院東アジア研究科
出版者ヨミヤマグチ ダイガク ダイガクイン ヒガシアジア ケンキュウカ
NII資料タイプ学術雑誌論文
ISSN1347-9415
NCIDAA11831154
学内刊行物(紀要等)東アジア研究
掲載誌名東アジア研究
掲載誌名別表記Journal of East Asian studies
11
開始ページ29
終了ページ58
発行日2013-03
著者版/出版社版出版社版
リポジトリIDD300011000003
地域区分山口大学
URIhttp://www.lib.yamaguchi-u.ac.jp/yunoca/handle/D300011000003