我国期货市场期货价格收益及条件波动方差的周日历效应研究  

The Analysis of Weekly Calendar Effects of Fluctuation Variance of Future Price Earnings and the Condition of China Future Market

作　　者：华仁海[1] 

机构地区：[1]南京财经大学金融学院副

出　　处：《统计研究》2004年第8期33-37,共5页Statistical Research

摘　　要：This paper investigates the day of the week effect on China futures markets returns and conditional variance(volatility)using the GARCH model.Results obtained indicate that both futures price returns and volatility of copper,aluminum,rubber in Shanghai Futures Exchange and soybean in Zhengzhou Commodity Exchange have no day of the week effect,but futures price returns and volatility of wheat in Dalian Commodity Exchange have no day of the week effect.This paper investigates the day of the week effect on China futures markets returns and conditional variance(volatility)using the GARCH model.Results obtained indicate that both futures price returns and volatility of copper,aluminum,rubber in Shanghai Futures Exchange and soybean in Zhengzhou Commodity Exchange have no day of the week effect,but futures price returns and volatility of wheat in Dalian Commodity Exchange have no day of the week effect.

关 键 词：期货市场 期货价格 周日历效应 GARCH模型 中国 金融市场 

分 类 号：F832.5[经济管理—金融学]