| 周日历效应传递吗?——伦敦和上海黄金市场的比较 |
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| 引用本文： | 肖倬,郭彦峰. 周日历效应传递吗?——伦敦和上海黄金市场的比较[J]. 中国管理科学, 2008, 0(Z1) |
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| 作者姓名： | 肖倬 郭彦峰 |
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| 作者单位： | 电子科技大学经济与管理学院;中国建设银行四川省分行;西南交通大学经济管理学院; |
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| 摘 要： | 首次系统探讨上海黄金市场从成立(2002年10月30日)至2007年6月29日期间收益和波动的周日历效应,并进一步研究与同期伦敦黄金市场周日历效应之间的关系。结果表明:上海黄金市场存在收益周一、周四正效应,波动周一、周三、周五高效应和周二、周四低效应,周日历效应整体显著;伦敦黄金市场存在周三、周五收益正效应,周三高波动和周五低波动效应,但整体的周日历效应并不显著;伦敦黄金市场收益周日历效应可以显著解释上海黄金市场收益周日历效应,收益周日历效应具有跨市场传递性;上海黄金市场的价格发现能力和有效性皆逊于伦敦;此外,两个市场都表现出杠杆效应。
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| 关 键 词： | 黄金市场 周日历效应 传递性 修正GJR-GARCH模型 |
A Comparative Study on the Day of the Week Effect between London and Shanghai Gold Markets |
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| XIAO Zhuo,GUO Yan-feng. A Comparative Study on the Day of the Week Effect between London and Shanghai Gold Markets[J]. Chinese Journal of Management Science, 2008, 0(Z1) |
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| Authors: | XIAO Zhuo GUO Yan-feng |
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| Affiliation: | XIAO Zhuo~(1,2),GUO Yan-feng~3 (1.University of Electronic Science , Technology of China,Chengdu 610054,China,2.The Sichuan Branch of China Construction Bank,Chengdu 610081,3.South-West Jiaotong University,Chengdu 610031,China) |
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| Abstract: | This paper investigates the day of the week effect of return and volatility from the establishment of Shanghai Gold Market to June 2007,and the relationship between London and Shanghai Gold Markets at the same period for the first time.The results show that:the day of the week effect is notable in Shanghai gold market,but it is not so in London gold market.Besides,we find that the day of the week effect of return in London gold market can significantly explain that in Shanghai gold market,both the price dis... |
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| Keywords: | gold markets the day of the week effect transmission modified-GARCH model |
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