在新兴市场和工业化市场之间对随机季节性,1月效应和市场效率进行比较分析
Nancy Eduah1, Godwin Debrah1, Emmanuel Kojo Aidoo2
1Department of Statistics and Actuarial Science, University of Ghana, Ghana.
Heliyon
|April 11, 2024
概括
这项研究发现,新兴市场和工业化市场之间的投资回报在季节性,1月效应或市场效率方面没有显著差异. 大多数市场缺乏随机季节性,1月效应的结果各不相同.
科学领域:
- 金融经济学 金融经济学
- 市场分析市场分析
- 投资回报 投资回报
背景情况:
- 投资回报率经常表现出受市场类型影响的模式.
- 了解市场效率和季节性异常对于投资者来说至关重要.
- 新兴市场和工业化市场呈现出不同的投资格局.
研究的目的:
- 为了比较新兴市场和工业化市场之间的投资回报特征.
- 调查随机季节性,1月效应和市场效率的差异.
- 确定市场类型是否对这些财务指标产生重大影响.
主要方法:
- 利用经合组织9个新兴国家和11个工业化国家 (1990-2020) 的数据.
- 采用了用于随机季节性的光谱非参数测试.
- 应用了1月效应和市场效率的回归和方差比测试.
- 费舍尔的精确测试验证了观察到的差异.
主要成果:
- 在市场类型之间的季节性,1月效应或效率方面没有发现显著差异.
- 在新兴市场中,只有巴西表现出随机季节性.
- 五个新兴市场和两个工业化市场显示了1月份的效应.
结论:
- 市场类型似乎不是随机季节性,1月效应或市场效率的重要决定因素.
- 1月效应存在于新兴市场和工业化市场的子集中.
- 进一步的研究可能会探索其他影响这些市场回报特征的因素.
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