海外策略专题研究：港股异象系列（二）从行业指数看季节效应

请务股及海外策略研究究所S2060001gcyghzqcomcn港股异象系列(二)：从行业指数看季节效应000000000022/422/522/622/722/822/922/1022/1223/123/223/323/4相关报告《当前港股哪些行业值得关注？*党崇钰》——3-04-28《港股异象系列(一)：换月效应的前世今生*党崇钰》——2023-04-04Wind香港一级/二级/三级行业分类指数，发现港股中存在明显的“季节(1)在一级行业中，在2015-2023全样本期间，一季度行业收益率呈现分化之势，整体表现1月最好；二季度行业收益率普遍相对较高，整(2)在二级与三级行业中，季度和月度收益率与一级行业呈现出类似现份涨幅较大的行业集中于消费、医药和信息技术行业。其次，我们发现。(3)从行业来看，基于香港一级行业1-12月的平均收益率，我们发现“五穷六绝七翻身”的说法相悖。而“SellinMay”有部分逻辑，因为除了我们在《港股异象系列(一)：换月效应的前世今生》中研究的“换时提供一定参考价值。风险提示：历史经验不代表未来；全球货币政策变化超预期；国际地缘政治局势变化超预期；海外经济衰退风险超预期；海外高通胀韧性超预证券研究报告请务必阅读正文后免责条款部分2 2、不同时间跨度或行业细分构成下“季节效应”结论是否稳健？ 62.1、一级行业不同时间跨度下的“季节效应” 62.2、二级行业与三级行业中的“季节效应” 83.如何理解“SellinMay”与“五穷六绝七翻身”在港股行业中是否适用？ 113.1、从行业来看“SellinMay”有部分逻辑，但“五穷六绝七翻身”并不成立 11 请务必阅读正文后免责条款部分3 ：2015Q1至2023Q1恒生综合行业指数一级行业三季度收益率普遍较低 6：2020Q1至2023Q1恒生综合行业指数一级行业三季度收益率普遍较低 6ndQ ndQ QQWind业类似现象 9QQWind业类似现象 9QQWind现与一级行业类似现象 10 证券研究报告请务必阅读正文后免责条款部分41、港股日历效应中的“季节效应”问题，除了我们在《港股异象系列(一)：换月效应的前世今生》中研究的“换份中呈现规律性的收益统计特征。ltanachoti2检验了美国1926-2006年股票市场不同行业的收益率，发现超过三分n个交易日至2023年3月最后一个交易日的(2)在二级与三级行业中，季度和月度收益率与一级行业呈现出类似现象，但(3)从行业来看，基于香港一级行业1-12月的平均收益率，我们发现在5-7JacobsenTheHalloweenIndicatorSellinMayandGoAwayAnotherPuzzleAmericanEconomicReview2Jacobsen,B.andVisaltanachoti,N.(2009)TheHalloweenEffectinU.S.Sectors.FinancialReview,44:437-459.eenindicatorSellinMayandGoAwayEverywhereandallthetimeJournalofInternationalMoneyandFinanceFeb10:102268.证券研究报告请务必阅读正文后免责条款部分5Wind”从一级行业“金融”ind图1：Wind香港行业分类体系与恒生综合行业指数对比证券研究报告务必阅读正文后免责条款部分6度收益率普遍较低度收益率普遍较低度收益率普遍较低度收益率普遍较低d证券研究报告请务必阅读正文后免责条款部分7季度中，1月份表现相对最好，2月份材料行业领涨市场，3月份能源表现依旧份几乎所有行业有正收益份绝大部分行业有正收益证券研究报告请务必阅读正文后免责条款部分82.2、二级行业与三级行业中的“季节效应”在二级与三级行业中，季度和月度收益率与一级行业呈现出类似现象，但一级益率，二级行业，商业银行三级行业和互助储蓄银行与抵押信贷III三里面的具体原因我们在这里并不着重关注。证券研究报告请务必阅读正文后免责条款部分953%38%5%2972%5%27%85%387%068%7%7%1253%38%5%2972%5%27%85%387%068%7%7%12468296457%60642270538825274693216301007709187039045509%8685277493731986687图14：2015年Q1至2023年Q1香港Wind二级行业季度与月度平均收益率呈现与一级行业类似现象%1%%%%23%3%0.1%44.109%9705%6%-9.1-9.1..7%0.18%977035%图15：2020年Q1至2023年Q1香港Wind二级行业季度与月度平均收益率呈现与一级行业类似现象-0.-4.-4.33-1.-6.-4.-3.-5.-2.1-2.-1.-1.-0.2.-1.0.0.0.-1.4.-1.0.20.-0.0.-3.-5.-1.88-3.-0.-2.-2.-4.-1.-1.-4.-1.0.3-1.-5.-3.73%73%0-4.55-5.-2.3.33-4.-0.-3.-4.-2.-1.-3.-3.-1.81%981%93.-0.-3.5.7.9.-3.2.4-1.3.-2.-0.-0.2.-1.2.5-1.-0.-2.-1.-3.-1.-4.-0.-2.-2.-3.-2.6-3.-2.3.6.2.-0.3.5.-1.-1.3.-1.-0.-1.-5.-1.-0.-2.-1.77-4.7-4.-2.-2.-0.-5.-0.-3.-3.-5.-4.-4.-1.0.85.4.3.-1.-3.0.-1.-1.-1.0.-4.3.-0.9-1.-2.334.-1.-3.-5.7.5.5.-1.8.-1.8.-3.-2.-4.-3.-3.-3.-0.-2.-3.-0.-4.-1.-2.-4.66%66%91%8.9.4.9.7.2.7.-0.-1.-1.请务必阅读正文后免责条款部分1009%1638%01%644061%902332%12984377%39002783025089%88%97649333%173%97577%6065571%4759736243348866%672%23383867%81%02%9663%71%7501%85%83496927573965180%485174798%09%1638%01%644061%902332%12984377%39002783025089%88%97649333%173%97577%6065571%4759736243348866%672%23383867%81%02%9663%71%7501%85%83496927573965180%485174798%033847%2037%40477310877346686247592849753688%246%963%74%67%108%63123190331496%6443%19657768%481906883492%98%6484%2170%68%55%07%6502%62%05262369%833984057963%562949882552%83159%26500283%8378%884%61图16：2020年Q1至2023年Q1香港Wind三级行业季度与月度平均收益率呈现与一级行业类似现象123456789-6.0.1.3%-9.0%5.-2.6.09091.5%.32%-9.82%1.7%-3.05%76%0.7%4.7.7.545494.2%2.8%-0.1%3.1.3%2.9%0.2%-0.76%-4.29%5.77-1.56%-0.19%65%7.44-1.7%0.8%-0.4.70%7-2.6%8.3.8%-0.5.62%34%4.0%-7.39%8.24%-4.34%01%1.5%0.-0.22%5.0%-4.0%4.3%-3.-2.66%2.5%2.0%-8.07%-3.38%-8.91%7.0.6%-1.2.8%-0.-3.5%-4.0.-4.-0.-3.60%-2.33%3.7%-4.47%80%1.0%5.3.7%1.2%2.6%6.51517-6.7%2.5.0.9%-3.-2.36%4.0%1.3%-8.94%01%-0.62%52%-0.3%-9.-1.23%3.8%56%-7.-0.-0.-5.2.8%2.4%3.2%-4.81%98%0.5%6.74746.11%-6.-0.-0.-4.7%8.-0.9.22-0.-3.57%00%2.5%7.63%48%0.7%8.4.2.9%8.131391.8%-7.4%00%8.-1.6.44-9.93%6.22-0.18%6.65%-2.77%-7.69%75%-7.6%3.9%1.2%3.0%-1.6%-0.3.5%-2.-1.4.0%1.4%6.84%-4.37%2.7%1.4%6.25254-4.2%28%0.8%-0.-9.3%04%1.0%0.2%8.-4.92%8.0035%-7.23%8.00-5.07%9.4.5%1.8%2.5%-0.-2.3%-0.2.6%-0.-1.-9.18%-1.91%1.2%-8.77%5.98%-2.87%7.1.8%2.2%3.6%0.6%-2.7%2.4%-1.1.8%2.-6.54%3.5%1.7%8.72%-2.12%9.1.6%-5.0.2%0.8%-6.8%0.3%0.9%-3.3.0%-4.00%-6.03%6.33-3.39%8.68%-3.73%63%2.7%-9.-2.-0.-6.7%-6.-0.-2.-2.-0.47%-2.61%4.39%-2.17%5.86%-4.52%9.1.0%3.0%-2.5.-0.0%75%0.-2..74%-6.86%-0.81%-2.88%-0.80%1.-0.79%-1.7%-7.2.6%-3.4%4.9.43%43%0-2.-1.9.0%2.2%3.3%2.2%4.75%-6.61%51%-0.6%42%6.9%-1.1.2%-4.1.4%-4.50%-8.02%7.22-3.09%46%-1.05%9.4.6.-2.4.3.9%27%6.747452.5%7.-1.23%2.5%9. 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