| 我国开放式基金收益及波动性的周内效应研究 |
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| 引用本文： | 周泽炯,史本山.我国开放式基金收益及波动性的周内效应研究[J].南京农业大学学报(社会科学版),2006,6(1):30-34. |
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| 作者姓名： | 周泽炯 史本山 |
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| 作者单位： | 1. 安徽财经大学,经济与金融学院,安徽,蚌埠,233041;西南交通大学,经济与管理学院,四川,成都,610031
2. 西南交通大学,经济与管理学院,四川,成都,610031 |
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| 摘 要： | 运用均值方程含有虚拟变量的GARCH(1,1)模型和条件方差方程含有虚拟变量的修正的GARCH(1,1)模型,分别对2003年6月1日至2005年8月18日期间中国开放式基金收益的周内效应和收益波动性的周内效应进行实证研究,结果显示,在研究期间内样本基金收益及收益的波动性在周三这一天显著不同于其他交易日,说明存在“周三效应”。
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| 关 键 词： | 开放式基金 收益 波动性 周内效应 GARCH(1 1)模型 |
| 文章编号： | 1671-7465(2006)01-0030-05 |
| 修稿时间： | 2005年9月6日 |
Day-of-the-week effect on returns and its volatility of open-end fund in China |
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| ZHOU Ze-jiong,SHI Ben-shan.Day-of-the-week effect on returns and its volatility of open-end fund in China[J].Journal of Nanjing Agricultural University(Social Science Edition),2006,6(1):30-34. |
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| Authors: | ZHOU Ze-jiong SHI Ben-shan |
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| Abstract: | It is important to know if there exists the day-of-the-week effect on returns and volatility in mutual fund.Having such knowledge may allow investors to adjust their portfolios to increase their returns.Using GARCH(1,1) model with dummy variables in return equation and modified GARCH(1,1) model with dummy variables in conditional variance equation,this paper conducts an empirical investigation of the day-of-the-week effect on returns and volatility in open-end fund during the period of June 1,2003 and August 18,2005 in China respectively. The findings indicate that the average returns and the volatility in open-end fund on Wednesday are significantly deferent from those over the other weekdays.It indicates the Wednesday effect is present in both returns and volatility. |
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| Keywords: | open-end fund returns volatility the day-of-the-week effect GARCH(1 1) model |
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