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2008/12/11镜像同步0 回复

学术讲座通知题目：Anomalous Behavior in Security Markets: Evidence from Equity Markets of the People's Republic of China（证券市场的反常行为：中国股市的证据）主讲人：Rasoul Rezvanian教授（美国东北伊力诺依斯大学金融学教授）时间：2008年12月15日（星期一）下午3:00-5:00 地点：教三楼433 摘要：We analyze the calendar anomalies in Chinese equity market using indices from six Chinese exchanges. The empirical findings of Monday and the day-of-the week effects demonstrate no tradition Monday effects in six of the Chinese stock indices during the periods under study. Additionally, the across days of the week correlations analysis reveal no predictable daily returns patterns and no significant correlation across the days of the week. The analysis of January and the month -of - the week effect provide no or a little evidence of such effects in Chinese equity markets. The results of correlation analysis across the months of the year suggest that there is not statistically significant returns correlation among months of the year and no predictable returns patterns. The absence of a Monday, the days-of-the- week, January effect, and the months-of-the-year effects in the these indices, possibly indicates that the Chinese equity markets are to a certain level efficient in spite of the assumption that Chinese equity market is not developed and might demonstrate signs of inefficiencies. 此报告为前沿讲座，欢迎全校师生踊跃参加。校学术委员会 2008年12月10日

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