| 基于修正GARCH模型的中国股市收益率与波动周内效应实证研究 |
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| 引用本文： | 陈雄兵,张宗成.基于修正GARCH模型的中国股市收益率与波动周内效应实证研究[J].中国管理科学,2008,16(4):44-49. |
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| 作者姓名： | 陈雄兵 张宗成 |
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| 作者单位： | 1. 中南财经政法大学新华金融保险学院 湖北 武汉 430073;
2. 华中科技大学经济学院 湖北 武汉 430074 |
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| 摘 要： | 本文研究《证券法》实施之后的2000-2006年沪深股市收益率与波动的周内效应。利用修正的GARCH模型,发现两市收益率的最大与最小值均分别出现在周二与周四;两市的最小波动均出现在周二,但沪市的最大波动在周三,而深市的最大波动则在周一。进一步的分析表明中国股市的收益率与市场风险有显著的正向关系,即投资者由于承担高风险而受到补偿获得高收益。文章最后对周内效应的存在提出了两种解释。
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| 关 键 词： | 周内效应 波动性 GARCH模型 市场风险 |
| 收稿时间： | 2007-3-21 |
| 修稿时间： | 2008-2-19 |
The Day-of-the-Week Effect on Stock Return and Volatility in China: Empirical Evidence from Modified GARCH Model |
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| CHEN Xiong-bing,ZHANG Zong-cheng.The Day-of-the-Week Effect on Stock Return and Volatility in China: Empirical Evidence from Modified GARCH Model[J].Chinese Journal of Management Science,2008,16(4):44-49. |
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| Authors: | CHEN Xiong-bing ZHANG Zong-cheng |
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| Institution: | 1. Xinhua Schod of Finance and Insurance, zhongnan University of Economicsand law, Wuhan 430073, China;
2. School of Economics, Huazhong University of Science and Technology, Wuhan 430074, China |
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| Abstract: | This paper investigates the day-of-the-week effect on stock return and volatility in China during the period of 2000 to 2006.Under modified GARCH framework,we find that the lowest and the highest return are present on Thursday and Tuesday for both Shanghai and Shenzhen markets,respectively.The lowest volatility is observed on Tuesday for both markets,whereas the highest volatility occurs on Monday for Shenzhen and on Wednesday for Shanghai.We also find there is significantly positive relationship between ex... |
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| Keywords: | the day-of-the-week effect volatility GARCH model market risk |
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