| 上海期货市场收益和波动的周日历效应研究 |
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| 引用本文： | 郭彦峰,黄登仕,魏宇.上海期货市场收益和波动的周日历效应研究[J].管理科学,2008,21(2):58-68. |
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| 作者姓名： | 郭彦峰 黄登仕 魏宇 |
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| 作者单位： | 西南交通大学,经济管理学院,成都,610031 |
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| 摘 要： | 期货市场收益和波动的周日历效应可以为投资者在期货市场上投机、套利和避险提供重要的决策依据.为系统检测上海期货市场期货价格收益和波动的周日历效应,使用非对称GJR-GARCH模型,对上海期货市场主要品种的隔天(收盘价-收盘价)收益和波动、交易期(开盘价-收盘价)收益和波动以及非交易期(收盘价-开盘价)收益和波动的周日历效应进行实证检验,研究期间为2002年1月～2006年12月.结果显示,收益和波动的周日历效应存在于上海期货市场,但发生时间依据品种不同而有所差异,铜期货和铝期货呈现收益周一正效应.橡胶期货周一的非交易期收益和周三的交易期收益显著大于零,各类型波动的分布在一周中各交易日也不一致.此外,铜期货和铝期货还表现出波动的不对称性.
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| 关 键 词： | 期货市场 周日历效应 波动性 非对称GJR-GARCH |
| 文章编号： | 1672-0334(2008)02-0058-11 |
| 修稿时间： | 2007年8月28日 |
A Study of the Day of the Week Effect in Return and Volatility at the Shanghai Futures Market |
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| GUO Yan-feng,HUANG Deng-shi,WEI Yu.A Study of the Day of the Week Effect in Return and Volatility at the Shanghai Futures Market[J].Management Sciences in China,2008,21(2):58-68. |
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| Authors: | GUO Yan-feng HUANG Deng-shi WEI Yu |
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| Institution: | GUO Yan-feng,HUANG Deng-shi,WEI Yu School of Economic & Management,Southwest Jiaotong University,Chengdu 610031,China |
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| Abstract: | The day of the week effect implies that the futures return or volatility is not independent of the day of the week in which they are generated,and the investment opportunities can therefore arise from this abnormal behaviour.This study tests the presence of the day of the week effect about the next day(from close to close)return and volatility,the trading periods(from opening to close)return and volatility,and the non-trading periods(from close to opening)return and volatility on Shanghai futures market for... |
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| Keywords: | futures market the day of the week effect volatility asymmetric GJR-GARCH |
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