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| 文章编号：1672-3104(2017)03-0104-11 |
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中国股票指数是否存在心理关口效应？——来自上证综指的经验证据 |
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朱宁，许艺煊 |
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（中南大学商学院，湖南长沙，410083；中央财经大学中国财政发展协同创新中心，北京，100081） |
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| 摘 要： 选择1991年7月15日—2015年7月15日的上证综指日数据为样本，对传统的M值分布检验方法从模型设定和指标替代两方面尝试改进，就中国资本市场是否存在心理关口效应这一争议性话题进行深入探讨，以期对改善资本市场环境，提高资本市场效率有所助益。研究发现：中国股票指数明确存在着50点位的心理关口；上证综指的市场规模通过改变整个资本市场的整体环境，影响了投资者的心理预期，最终作用于心理关口。 |
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| 关键词： 心理关口；M值；股票指数；规模效应 |
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Is there a psychological barrier in the Chinese stock market?——Evidence from Shanghai composite index |
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ZHU Ning, XU Yixuan |
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（School of Business, Central South University, Hunan Changsha, 410083; Central University of Finance and Economics, Beijing, 100081） |
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| Abstract: The present essay chooses the Shanghai composite index data from July 15, 1991 to July 15, 2015 as samples, adopts the method of M value distribution test to further discuss whether there is a psychological barrier in Chinese capital market, in order to improve the capital market environment and the efficiency of capital market. However, the results show that after expanding, the test result of the sample is obviously different. Therefore, in the present essay, the traditional method is improved from two aspects: perfect model and benchmark alternative. The study finds that Chinese stock index has the psychological barrier at Point 50, and that the size of the market has a certain influence on the psychological barrier through the access of investors' expectation. |
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Key words: psychological barrier; M value; stock index; scale effect |
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