| 中国股票市场“周内效应”的再研究 |
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| 引用本文： | 石柱鲜,吴泰岳. 中国股票市场“周内效应”的再研究[J]. 数理统计与管理, 2005, 24(3): 93-99 |
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| 作者姓名： | 石柱鲜 吴泰岳 |
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| 作者单位： | 吉林大学商学院,长春,130012 |
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| 摘 要： | 本文避免了通常利用方差分析方法检验周内效应时的不足之处,利用考虑到异方差情况ARCH模型,通过采用虚拟变量,在研究沪深两市日收益率的周内效应的基础上,进一步考察其方差变动的周内效应。通过实证分析发现沪市存在显著为正的星期五效应,深市存在显著为负的星期一效应与显著为正的星期五效应,并且深市日收益的方差变化也存在一定的周内效应。
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| 关 键 词： | 异方差 周内效应 |
| 文章编号： | 1002-1566(2005)03-0093-07 |
| 修稿时间： | 2003-07-31 |
The Examine of Day-of-the-week Effect in the China Stock Market |
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| SHI Zhu-xian,WU Tai-yue. The Examine of Day-of-the-week Effect in the China Stock Market[J]. Application of Statistics and Management, 2005, 24(3): 93-99 |
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| Authors: | SHI Zhu-xian WU Tai-yue |
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| Abstract: | We used ARCH model to examine the day-of -the-week effect of the daily return and variance volitlity in Shanghai and Shenzhen stock market.Our model avoided the usual mistake in examining the day-of -the-week effect by variance analysis method.We found positive return on Friday in Shanghai and Shenzhen stock market,and negative return on Monday in Shenzhen stock market.We also found the day-of -the-week effect on return volatility in shenzhen stock market. |
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| Keywords: | change variance day-of -the-week effect |
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