中国股票市场“周内效应”的再研究  

The Examine of Day-of-the-week Effect in the China Stock Market

作　　者：石柱鲜[1] 吴泰岳[1] 

机构地区：[1]吉林大学商学院,长春130012

出　　处：《数理统计与管理》2005年第3期93-99,共7页Journal of Applied Statistics and Management

摘　　要：本文避免了通常利用方差分析方法检验周内效应时的不足之处,利用考虑到异方差情况ARCH模型,通过采用虚拟变量,在研究沪深两市日收益率的周内效应的基础上,进一步考察其方差变动的周内效应。通过实证分析发现沪市存在显著为正的星期五效应,深市存在显著为负的星期一效应与显著为正的星期五效应,并且深市日收益的方差变化也存在一定的周内效应。We used ARCH model to examine the day-of -the-week effect of the daily return and variance volitlity in Shanghai and Shenzhen stock market.Our model avoided the usual mistake in examining the day-of -the-week effect by variance analysis method.We found positive return on Friday in Shanghai and Shenzhen stock market,and negative return on Monday in Shenzhen stock market.We also found the day-of -the-week effect on return volatility in shenzhen stock market.

关 键 词：异方差 周内效应 

分 类 号：O212[理学—概率论与数理统计]