基于二十四节气对中国上证指数收益率的影响的统计研究

分类： 统计学 >> 经济统计学 分类： 统计学 >> 统计学其他学科 提交时间： 2022-03-04

Tianbao ZHOU Xinghao LI Junguang ZHAO

摘要： In this study, readers will see the impact on Chinese stock index brought by twenty-four solar terms, a unique division of annual season in Chinese tradition. Based on the data in the past 26 years, the statistics focused on whether the daily return (revenue) of Shanghai Index shows significant value and special feature on and after each solar term. On several solar terms did the index return result large mean value and high probability of extreme value occurrence such as on solar term No.1 and No.3 while on solar term No.2 and solar term No.4, the results were completely opposite. The study also found that the volatility of index return during those solar terms in the beginning of the year were greatly active than the rest of them. Index return 10 days and 15days after solar term No.6 and solar term No.8 displayed high final return and large volatility whereas in any cases, the index went very steady after solar term No.18. The study also proposed that it’s almost impossible to make numeric prediction with the current technical analysis tools, the effective way in stock analysis to collect more feature and characteristics based on historical data, identifying if the similar situation is happening when similar feature of stock shows up in the future.

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