中國大陸股票報酬之季節性分析

Abstract

季節性是市場效率研究領域中的重要議題，近年一些學者基於美國股票市場對季節性進行研究，提出理論解釋季節性之來源與其形成機制。本論文使用模擬季節性策略的方法，研究中國大陸股票市場中的季節性。實證結果顯示中國大陸市場中股票報酬存在季節性，相同月份報酬率之間的關聯性高於不同月份報酬率之間的關聯性。模擬季節性策略的結果顯示，基於相同月份與不同月份歷史報酬的季節性多空策略，以個股或風險因素組合為交易對象皆可以獲得平均為正的月報酬率，因此在個股或風險溢酬因素中皆有季節性的存在，且季節性效應並非只聚集在一月份中。本論文也發現股票報酬季節性受到規模、動能兩項風險溢酬因素之季節性的影響，以上兩項因素可以一定程度上解釋個股報酬中的季節性，但能夠解釋部分的比例較為有限。本論文認為中國大陸市場的證據支持個股中季節性來源於多種風險溢價因素的理論，但影響季節性的具體風險溢價因素仍與美國市場存在差異。

Seasonality is an important issue in market efficiency research. Recently, researchers have studied seasonalities based on the US stock market, presenting theories to explain the source and the formation mechanism of seasonalities. This dissertation examines the stock return seasonalities in Mainland China by mimicking risk premium factor seasonalities with seasonal long-short strategies. The empirical results show that return seasonalities exists in Mainland China; seasonal long-short strategies based on same-month and other-month historical returns earn positive monthly returns on average. In addition, the seasonal effects are not concentrated in January. This dissertation also finds that individual stock return seasonalities are influenced by seasonalities from size and momentum factors in Mainland China, which explain individual stock return seasonalities moderately. In general, the evidence from Mainland China stock market supports the theory that individual stock return seasonalities are derived from the aggregation of risk premium factor seasonalities, while the specific factors are different from the US market.