春节日历效应下的海内外市场表现研究

目录一、 春节日历效应研究 4(一)春节日历效应 4(二)时间窗口设定 4二、 海内外宽基指数春节日历效应分析 5(一)A股主要宽基指数表现对比 5(二)港股宽基指数表现分析 10(三)海外市场主要宽基指数表现 11三、 行业板块表现与轮动规律 13四、 市场风格指数表现分析 20(一)规模指数表现对比 20(二)风格指数表现对比 23五、 风险提示 24图表目录图表1：历年春节交易日统计 5图表2：A股主要宽基指数历史上春节前后区间累积收益率均值 6图表3：A股主要宽基指数历史上春节前后区间累积收益率均值变化 7图表4：A股主要宽基指数历史上春节前后区间累积收益率中位数 8图表5：A股主要宽基指数历史上春节前后区间累积收益率中位数变化 8图表6：A股主要宽基指数历史上春节前后区间累积收益率上涨比率 9图表7：A股主要宽基指数历史上春节前后区间累积收益率上涨比率变化 10图表8：恒生指数历史上春节窗口表现 11图表9：海外市场主要宽基指数历史上春节窗口累积收益率均值 11图表10：海外市场主要宽基指数历史上春节窗口区间累积收益率中位数 12图表11：海外市场主要宽基指数历史上春节窗口区间累积收益率上涨比率 13图表12：中信一级行业指数历史上春节前后区间累积收益率均值 15图表13：中信一级行业指数历史上春节前后区间累积收益率中位数 17图表14：中信一级行业指数历史上春节前后区间累积收益率上涨比率 19图表15：规模指数历史上春节前后区间累积收益率均值 21图表16：规模指数历史上春节前后区间累积收益率中位数 22图表17：规模指数历史上春节前后区间累积收益率上涨比率 23图表18：风格指数历史上春节前后区间累积收益率均值 23图表19：风格指数历史上春节前后区间累积收益率中位数 24图表20：风格指数历史上春节前后区间累积收益率上涨比率 24一、 春节日历效应研究(一)春节日历效应（对日历效应的研究，不仅为理解市场投资者行为、季节性流动性变化以及政策周期的影响提供了独特视角，也为探索市场有效性、构建季节性交易策略提供了实践依据。本报告旨在通过分析历年春节前后海内外主要宽基指数、行业及风格的收益表现，客观量化春节日历效应的特征及规律。(二)时间窗口设定A”和（NN2010ATN个交易日的时间窗口记为T-N和T，AA图表1：历年春节交易日统计年份春节前最后交易日春节后首个交易日20102010/2/122010/2/2220112011/2/12011/2/920122012/1/202012/1/3020132013/2/82013/2/1820142014/1/302014/2/720152015/2/172015/2/2520162016/2/52016/2/1520172017/1/262017/2/320182018/2/142018/2/2220192019/2/12019/2/1120202020/1/232020/2/320212021/2/102021/2/1820222022/1/282022/2/720232023/1/202023/1/3020242024/2/92024/2/1920252025/1/272025/2/5太平洋证券整理二、 海内外宽基指数春节日历效应分析(一)A股主要宽基指数表现对比20102025基于数据统计结果，A股市场在春节前后的日历效应整体表现为节前普涨与节后结构分化特征。5T-5，主“”20A5T-51.43个交易日T+20涨幅扩大至4.06，表明春节窗口对市场中短期趋势具有正面推动作用。5030050010002000数展出强弹节后幅T+20分达4.985.797.86和10.22超大基T-T+20图表2：A股主要宽基指数历史上春节前后区间累积收益率均值指数T-20T-10T-5T+5T+10T+20T+40T+60万得全A-1.10%0.41%1.43%1.77%2.71%4.06%4.83%3.61%上证指数-0.86%0.44%1.01%1.04%1.66%2.82%3.55%1.77%深证成指-0.58%1.07%2.01%1.10%1.92%2.56%2.56%0.44%创业板指0.31%1.35%2.69%1.90%3.47%4.98%4.27上证500.60%1.45%0.82%-0.23%0.05%0.63%1.21%-0.44%沪深3000.15%1.41%1.41%0.38%1.05%1.66%2.10%0.51%中证500-1.32%0.70%2.20%2.77%3.96%5.79%6.83%5.09%中证1000-2.64%-0.33%1.63%3.62%5.28%7.86%8.48%7.24%中证2000-4.29%-3.43%-0.27%5.18%7.00%10.22%11.74%12.26%微盘股-4.73%-2.87%-0.28%6.00%8.15%12.42%15.18%15.64%中证A5000.08%1.35%1.68%0.92%1.67%2.52%2.96%1.64%太平洋证券整理200052050300A图表3：A股主要宽基指数历史上春节前后区间累积收益率均值变化太平洋证券整理T-52050300T+40、T+60图表4：A股主要宽基指数历史上春节前后区间累积收益率中位数指数T-20T-10T-5T+5T+10T+20T+40T+60万得全A-0.85%1.50%2.59%1.79%2.58%2.71%1.27%0.23%上证指数-0.45%1.12%1.41%1.50%1.72%2.25%0.92%0.40%深证成指-1.95%1.37%2.81%1.19%1.66%2.97%1.36%-0.76%创业板指-2.84%0.67%2.36%3.56%5.63%5.06%1.84%-1.88%上证50-0.03%1.76%1.49%0.04%0.20%0.96%-1.13%-0.31%沪深3001.21%2.29%1.87%0.88%1.37%1.59%-0.13%-1.37%中证500-0.77%1.23%2.48%3.01%4.35%4.70%2.32%1.23%中证1000-4.44%-0.56%1.93%3.85%5.41%6.72%3.42%2.62%中证2000-3.98%-3.61%-0.13%4.89%6.73%8.35%5.16%5.33%微盘股-3.05%-0.81%1.43%5.62%7.52%11.29%13.08%11.70%中证A5001.12%1.78%1.78%1.36%1.71%1.74%0.64%0.05%太平洋证券整理A500图表5：A股主要宽基指数历史上春节前后区间累积收益率中位数变化太平洋证券整理5A30068755201000、中证2000及盘的比率要在87至94之间而期证50深300的涨5068图表6：A股主要宽基指数历史上春节前后区间累积收益率上涨比率指数T-20T-10T-5T+5T+10T+20T+4万得全A43.75%56.25%68.75%81.25%75.00%75.00%56.25%50.00%上证指数43.75%68.75%75.00%75.00%75.00%81.25%62.50%56.25%深证成指43.75%56.25%75.00%62.50%68.75%62.50%50.00%50.00%创业板指46.67%66.67%73.33%73.33%73.33%66.67%60.00%46.67%上证5050.00%68.75%56.25%50.00%56.25%62.50%43.75%50.00%沪深30056.25%68.75%68.75%68.75%62.50%62.50%50.00%43.75%中证50043.75%56.25%75.00%87.50%87.50%81.25%75.00%62.50%中证100031.25%50.00%68.75%87.50%93.75%81.25%68.75%62.50%中证200033.33%33.33%50.00%91.67%83.33%91.67%83.33%66.67%微盘股25.00%50.00%62.50%93.75%93.75%87.50%93.75%81.25%中证A50056.25%75.00%68.75%75.00%75.00%62.50%50.00%50.00%太平洋证券整理T+1T+210002000T+20图表7：A股主要宽基指数历史上春节前后区间累积收益率上涨比率变化太平洋证券整理(二)港股宽基指数表现分析AAA4AAA5股休、股常易恒指均幅至0.，涨率样为62.，显港在节期间存在一定的行情惯性；节后5个交易日平均涨幅进一步提升至0.55AA图表8：恒生指数历史上春节窗口表现恒生指数节前5个交易日节假日期间节后5个交易日均值0.12%0.39%0.55%中位数1.18%0.52%1.30%上涨比率62.50%62.50%56.25%

太平洋证券整理(三)海外市场主要宽基指数表现欧美及亚太其他市场在中国农历春节期间正常交易，统计其在中国春节休市期间及春节前后的历史收益表现。55日分录得0.50、0.03和0.99涨；标普500在个口别录得0.58和1.03的涨；斯克数现更，个口别涨0.68、0.71和1.21。欧市中德DAX国CAC40数节前5交日幅负-0.18，假间涨不，节后5个交日弹显别上涨1.83和1.72经225指节前5交日接平节假期微跌-0.07，节后5交日涨1.27。体看海主数在前节期间现平在后5个交日遍得收但幅在1至1.8之间弹于A图表9：海外市场主要宽基指数历史上春节窗口累积收益率均值指数节前5个交易日节假日期间节后5个交易日道琼斯工业平均0.50%0.03%0.99%纳斯达克0.68%0.71%1.21%标普5000.58%0.31%1.03%法国CAC40-0.01%0.34%1.72%德国DAX-0.18%-0.01%1.83%日经225-0.01%-0.07%1.27%太平洋证券整理55个易分录得0.70和1.02的幅节后收更集普500表较平稳个口别涨0.82和0.85纳达克数现为健三个口线正，分别涨1.240.76和1.08欧市中洲场中法国CAC40三窗涨幅别为0.760.25和节修特征显德国DAX指节前5个易录得-0.16的微收益51.91225现稳中数别为0.21、0.58和0.99，后和增整言，位口海外要数后5交易仍遍得收涨中在0.9至1.9之间与值径指A35图表10：海外市场主要宽基指数历史上春节窗口区间累积收益率中位数指数节前5个交易日节假日期间节后5个交易日道琼斯工业平均0.70%-0.17%1.02%纳斯达克1.24%0.76%1.08%标普5000.82%0.14%0.85%法国CAC400.76%0.25%1.40%德国DAX-0.16%0.30%1.91%日经2250.21%0.58%0.99%太平洋证券整理5假日间至纳斯克普500节上涨率达81.25后同至68.75CC40节后5750及节日间56.25大幅升德国DAX指前上比率仅43.75假日间50.00，节后样至87.50现节反高定特经225指节上比达56.2562.5056888A90图表11：海外市场主要宽基指数历史上春节窗口区间累积收益率上涨比率指数节前5个交易日节假日期间节后5个交易日道琼斯工业平均68.75%43.75%68.75%纳斯达克81.25%56.25%68.75%标普50081.25%75.00%68.75%法国CAC4056.25%56.25%87.50%德国DAX43.75%50.00%87.50%日经22556.25%62.50%81.25%

太平洋证券整理三、 行业板块表现与轮动规律，A52T+5T+20201020255T+5得3.88至4.87涨幅高于市平水后10交日T+10幅至4.96至6.26节后20个易日T+20一步至6.02至9.91其中算、信电涨幅别为9.919.028.29T+40、T+60695.206.476.475.93T+207.417.345.38消费板块内部分化较为明显。消费者服务（含旅游酒店）在节前及节后均录得温和正收益，T+20涨幅4.57表对平；品料家涨幅对弱后5交易涨仅和0.90，T+20为1.42和2.60，于场水平医物T+20幅4.33，T+608.5055-0.04，T+200.91，T+600.37T+201.59，T+60-2.23T+203.94周期板块。综上，从历史表现看行业层面的春节效应，节后行情以成长科技为主线，部分周期板块亦有较好表现，消费板块内部分化，金融地产相对落后。这一格局与宽基指数呈现的小盘成长相对占优形成交叉印证，表明春节窗口是风险偏好回暖、产业主题活跃的阶段。图表12：中信一级行业指数历史上春节前后区间累积收益率均值年份T-20T-10T-5T+5T+10T+20T+40T+60石油石化-0.10%0.07%1.24%1.74%2.20%3.05%3.96%1.86%煤炭-1.46%0.11%0.39%1.62%2.57%3.74%5.84%1.86%有色金属-0.48%1.01%2.69%3.00%4.39%6.47%7.12%3.43%电力及公用事业-2.86%-0.83%0.56%2.99%3.81%5.66%6.84%6.58%钢铁-1.15%0.15%1.29%2.06%3.61%5.84%6.82%2.69%基础化工-1.86%0.10%1.95%3.01%4.48%5.93%7.65%5.25%建筑-1.90%0.02%0.68%2.78%3.35%5.04%8.11%6.53%建材-1.23%0.92%1.49%2.34%3.69%5.20%8.25%5.33%轻工制造-2.37%-0.85%0.69%3.19%4.17%7.41%8.71%8.04%机械-2.22%0.33%1.77%2.40%3.90%5.65%7.10%5.47%电力设备及新能源-1.47%-0.11%2.10%1.71%3.51%5.13%5.81%3.86%国防军工-3.78%-1.22%2.21%3.60%4.12%5.38%5.94%3.90%汽车-0.92%0.86%1.66%2.31%3.47%4.76%4.36%3.06%商贸零售-2.66%-1.09%0.93%2.64%3.15%4.76%5.73%5.30%消费者服务-0.10%1.53%2.04%2.13%2.53%4.57%4.93%4.35%家电0.68%1.52%1.79%0.90%1.83%2.60%4.27%4.78%纺织服装-2.92%-0.71%0.97%3.29%4.15%7.34%9.02%7.65%医药-1.18%0.24%2.52%2.02%2.97%4.33%6.80%8.50%食品饮料-1.87%0.54%0.96%0.42%0.72%1.42%4.64%6.07%农林牧渔-2.77%-0.65%1.20%3.57%5.10%6.12%7.36%8.02%银行2.40%1.43%0.02%-0.04%0.28%0.91%1.21%0.37%非银行金融-0.42%1.62%0.70%0.26%0.53%1.59%1.02%-2.23%房地产-2.83%-0.94%0.55%1.50%2.60%3.94%5.48%3.85%交通运输-1.06%0.19%1.42%1.87%2.17%3.64%4.86电子-2.60%0.46%2.59%3.88%6.19%8.29%7.61%6.93%通信-2.69%0.08%2.09%3.98%5.73%9.02%8.70%9.17%计算机-1.36%0.65%2.10%4.87%6.26%9.91%10.09%9.43%传媒-1.08%-0.47%0.75%4.29%4.96%6.02%6.03%6.33%44%4.13%5.63%7.82%8.19%太平洋证券整理从行业指数累积收益率中位数来看，春节窗口期的板块分化特征较均值口径更为收敛，但节后成长领先、周期跟进、金融偏弱的基本格局依然清晰。5T+53.305.0110T+104.295.9620T+20升至5.38至7.27，电子计机别涨7.27和5.77在部中排靠。9.91T+20至5.77涨幅电及用事防军分别涨5.175.69和轻制5.046.27T+203.34药物T+20为3.37升至3.68呈后幅走特食饮电涨偏仅2.83和0.625个交易日（T+5）仅上1.005-0.520涨幅T+60负至-1.09；非金融T+20涨幅0.22，T+40及T+60分下跌3.97和3.69在行业表偏。地板块T+20录得3.01和涨，性不成与周板。综上，从历史表现看中位数口径下行业层面的春节效应，节后行情以电子、计算机等成长板块为主线，部分周期行业亦有稳定表现，消费内部分化明显，金融地产整体靠后。与均值口径相比，中位数数据剔除了极端年份的扰动，更清晰地呈现出行业春节效应中成长科技的相对优势依然稳固，但涨幅中枢有所下修；周期板块的节后修复具备较好的年度普遍性；金融板块的偏弱表现则具有较高置信度。图表13：中信一级行业指数历史上春节前后区间累积收益率中位数年份T-20T-10T-5T+5T+10T+20T+40T+60石油石化0.19%-0.21%1.99%2.31%1.63%4.28%0.62%-0.37%煤炭-2.24%-0.06%1.62%0.95%3.59%1.93%1.89%0.76%有色金属-0.07%0.61%3.83%4.32%3.91%4.48%3.63%0.64%电力及公用事业-3.20%-0.46%0.88%3.87%3.60%5.17%3.40%4.62%钢铁-0.65%0.35%1.91%2.48%4.02%5.77%2.65%0.37%基础化工-3.46%0.55%2.99%3.73%4.32%4.49%4.25%1.16%建筑-0.93%0.16%0.84%3.28%3.55%3.73%2.50%1.93%建材-2.44%0.90%1.85%3.47%3.86%5.69%3.67%2.89%轻工制造-4.03%-0.17%0.71%3.56%3.62%5.04%3.24%2.40%机械-0.35%0.57%2.72%3.64%3.31%4.36%4.49%-1.90%电力设备及新能源-3.27%-0.27%2.07%2.55%4.49%6.66%3.01%-2.53%国防军工-5.41%-0.21%3.10%3.96%3.33%5.69%4.93%-0.86%汽车-0.18%1.48%1.49%3.64%3.77%5.31%3.86%1.30%商贸零售-2.42%-0.60%1.55%3.33%3.23%2.51%1.26%1.90%消费者服务-1.14%2.95%2.36%2.46%3.01%3.34%3.46%2.18%家电-0.45%2.07%2.80%1.00%0.38%0.62%2.48%5.07%纺织服装-3.35%0.11%1.06%4.18%5.11%6.27%3.93%3.43%医药-2.54%1.16%2.57%2.62%3.77%3.37%3.32%3.68%食品饮料-3.29%0.65%1.64%0.71%1.85%2.83%1.03%5.46%农林牧渔-3.25%-0.18%0.98%2.58%3.70%2.48%3.52%2.42%银行1.90%1.84%0.63%-0.75%0.01%0.57%-0.27%-1.09%非银行金融-2.68%1.33%0.85%1.27%0.56%0.22%-3.97%-3.69%房地产-3.27%-0.52%0.82%2.29%2.53%3.01%2.72%0.13%交通运输-0.04%0.84%1.69%2.68%2.24%3.43%0.62电子-4.36%1.24%2.63%5.01%5.96%7.27%5.09%5.54%通信-5.24%-1.38%2.75%3.30%4.29%5.38%4.02%2.80%计算机-6.01%-1.40%2.25%4.56%4.80%5.77%5.70%2.54%传媒-2.97%-2.52%1.57%3.84%3.33%3.94%2.80%0.71%00%4.94%5.54%7.31%5.52%520T+5T+20759087.593.7510T+1020T+2081.2593.75T+5T+207587.55T-587.5后维在81.25高位是消板中率现稳健细方品料电后率普607555易日T+5至43.75至T+20亦仅50至银融后率样于50至，T+40T+6031.25综上，从上涨比率的历史数据看行业的春节效应，节后行情的年度普适性较强，成长与周期板块兼具弹性与胜率双重优势，消费内部医药胜率稳健，金融地产则是确定性相对最低。图表14：中信一级行业指数历史上春节前后区间累积收益率上涨比率年份T-20T-10T-5T+5T+10T+20T+40T+60石油石化56.25%50.00%68.75%75.00%81.25%75.00%62.50%50.00%煤炭37.50%50.00%68.75%56.25%62.50%62.50%56.25%50.00%有色金属50.00%56.25%68.75%81.25%81.25%75.00%68.75%56.25%电力及公用事业18.75%43.75%62.50%87.50%93.75%87.50%81.25%68.75%钢铁43.75%50.00%62.50%81.25%75.00%81.25%56.25%50.00%基础化工37.50%50.00%68.75%81.25%87.50%81.25%62.50%56.25%建筑37.50%56.25%56.25%87.50%81.25%87.50%75.00%56.25%建材37.50%62.50%62.50%68.75%75.00%81.25%62.50%62.50%轻工制造43.75%50.00%62.50%87.50%81.25%81.25%75.00%56.25%机械50.00%56.25%68.75%75.00%75.00%75.00%62.50%43.75%电力设备及新能源43.75%50.00%81.25%81.25%75.00%68.75%68.75%43.75%国防军工37.50%31.25%68.75%75.00%81.25%75.00%62.50%37.50%汽车50.00%62.50%75.00%75.00%81.25%75.00%62.50%56.25%商贸零售37.50%50.00%62.50%87.50%87.50%81.25%62.50%62.50%消费者服务31.25%62.50%81.25%81.25%68.75%75.00%62.50%56.25%家电43.75%75.00%75.00%68.75%56.25%62.50%62.50%56.25%纺织服装25.00%50.00%68.75%93.75%81.25%87.50%75.00%56.25%医药43.75%56.25%87.50%81.25%81.25%81.25%68.75%75.00%食品饮料31.25%62.50%62.50%75.00%62.50%62.50%62.50%68.75%农林牧渔37.50%43.75%68.75%81.25%100.00%87.50%56.25%50.00%银行62.50%68.75%68.75%43.75%50.00%56.25%50.00%43.75%非银行金融43.75%62.50%62.50%62.50%50.00%56.25%31.25%31.25%房地产37.50%43.75%68.75%75.00%81.25%68.75%56.25%50.00%交通运输50.00%50.00%68.75%68.75%68.75%68.75%62.5电子37.50%56.25%81.25%75.00%93.75%81.25%75.00%62.50%通信37.50%43.75%68.75%87.50%87.50%87.50%75.00%50.00%计算机37.50%43.75%68.75%87.50%81.25%81.25%75.00%56.25%传媒31.25%37.50%62.50%87.50%81.25%68.75%56.25%50.00%.25%87.50%93.75%87.50%68.75%四、 市场风格指数表现分析(一)规模指数表现对比从规模维度来看，A股市场的春节效应呈现市值分层特征。不同市值区间的指数在春节窗口期的收益路径存在差异，大盘指数表现平稳，节前小幅上涨、节后动能温和；小盘及微盘指数节前表现相对偏弱，节后反弹幅度较其他风格更为明显。201020253005T-5节后5个日T+5收至节后20个交日T+20为1.66整体幅温潮，T-51.34，T+50.20，T+201.31，T+600.28500552.77205.79，T+406.83，T+204.88，T+405.38小盘及微盘风格指数弹性更强，节后反弹幅度相对更大。中证1000指数节前5个交易日上涨1.63节后5交日升至3.62节后20交易达7.86，T+40一步至8.48。2000T-5T+512.26T+206.45，T+408.02。2040T+40300T+600.28。图表15：规模指数历史上春节前后区间累积收益率均值年份T-20T-10T-5T+5T+10T+20T+40T+60沪深3000.15%1.41%1.41%0.38%1.05%1.66%2.10%0.51%中证500-1.32%0.70%2.20%2.77%3.96%5.79%6.83%5.09%中证1000-2.64%-0.33%1.63%3.62%5.28%7.86%8.48%7.24%中证2000-4.29%-3.43%-0.27%5.18%7.00%10.22%11.74%12.26%巨潮大盘0.38%1.44%1.34%0.20%0.76%1.31%1.77%0.28%巨潮中盘-1.07%0.99%2.11%2.19%3.39%4.88%5.38%3.61%巨潮小盘-1.78%-0.96%1.57%3.23%4.56%6.45%8.02%6.71%太平洋证券整理从规模指数累积收益率中位数来看，春节窗口期的市值分层规律进一步确认。3005T-51.875T+50.8820T+201.59，T+40T+60-0.131.37-1.47中盘格数后幅和益枢于盘证500指节前5个日上涨2.48，节后5个易至3.01后20个易为4.70，T+40及T+60别为2.32和1.23T+203.21T+60-0.40。100055206.72，T+40T+603.422.622000指数节前5个交易日小幅下跌.135个交易日上涨4.90个交易日为T+605.33T+203.69，T+602.09证10002000图表16：规模指数历史上春节前后区间累积收益率中位数年份T-20T-10T-5T+5T+10T+20T+40T+60沪深3001.21%2.29%1.87%0.88%1.37%1.59%-0.13%-1.37%中证500-0.77%1.23%2.48%3.01%4.35%4.70%2.32%1.23%中证1000-4.44%-0.56%1.93%3.85%5.41%6.72%3.42%2.62%中证2000-3.98%-3.61%-0.13%4.89%6.73%8.35%5.16%5.33%巨潮大盘1