| 中国汇率收益率及波动的周内效应实证研究 |
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| 引用本文： | 傅强,梁巧,袁晨. 中国汇率收益率及波动的周内效应实证研究[J]. 重庆大学学报(社会科学版), 2013, 19(1): 57-63 |
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| 作者姓名： | 傅强 梁巧 袁晨 |
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| 作者单位： | 重庆大学经济与工商管理学院,重庆,400044 |
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| 基金项目： | 国家自然科学基金项目(70501015) |
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| 摘 要： | 利用修正的GARCH-M模型,检验了中国2005 - 2010年期间人民币-美元汇率和人民币-欧元汇率收益率及波动的周内效应.研究发现,人民币-美元汇率在周二和周四具有显著升值特征,而人民币-欧元汇率在周四则更容易贬值并同时存在波动性的周二效应,仅在人民币-美元汇率收益率与波动之间呈现显著风险与收益的负向关系,反映出风险越高则人民币-美元汇率越容易升值,这可能是由于汇率市场中投资者的自适应预期所导致.
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| 关 键 词： | 汇率 波动性 周内效应 GARCH-M模型 |
An Empirical Evidence on the Day-of-the-Week Effect of Exchange Rate Return and Volatility in China |
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| FU Qiang,LIANG Qiao and YUAN Chen. An Empirical Evidence on the Day-of-the-Week Effect of Exchange Rate Return and Volatility in China[J]. Journal of Chongqing University(Social Sciences Edition), 2013, 19(1): 57-63 |
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| Authors: | FU Qiang LIANG Qiao YUAN Chen |
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| Affiliation: | (School of Economics and Business Administration,Chongqing University,Chongqing 400044,P.R.China) |
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| Abstract: | This paper investigates the day-of-the-week effect on both returns and volatility for RMB/USD and RMB/EURO exchange rates in China from 2005 to 2010 based on modified GARCH-M model. We find that the RMB/USD exchange rate significantly rises up on Tuesday and Thursday, while RMB/EURO is easier to devaluated on Thursday and has Tuesday effect on volatility. There is significant negative relationship between the benefits and risks for the RMB/USD exchange rate, which shows that the higher risk is, the easier RMB/USD exchange rate rises up, probably due to the adaptive expectations of investors in exchange market. |
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| Keywords: | foreign exchange rate volatility the day-of-the-week effect GARCH-M model |
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