石油期货价格的日历效应及波动特征  

Day-of-the-week effect and volatility of crude oil futures prices

作　　者：甘欢欢[1] 焦建玲[1] 

机构地区：[1]合肥工业大学管理学院,安徽合肥230009

出　　处：《合肥工业大学学报（自然科学版）》2010年第12期1880-1883,1893,共5页Journal of Hefei University of Technology：Natural Science

基　　金：国家自然科学基金资助项目(70971034);安徽省自然科学基金资助项目(090416243)

摘　　要：文章运用GARCH类模型实证研究了NYMEX期货市场2002年1月—2009年9月间原油价格的收益和波动的关系、杠杆效应及周日历效应。结果显示,期货市场的收益与风险有显著的正向关系;原油期货价格波动存在着杠杆效应,相同幅度的油价下跌比油价上涨对未来收益的波动具有更大的影响;采用交叠样本的方法对各时间段进行检验,发现周五收益始终为正而波动幅度却没有明显增加。By means of GARCH models,this paper tests and analyzes the relationship between return and volatility,leverage effect and day-of-the-week effect of crude oil prices on NYMEX futures market during the period of Jan.,2002 to Sept.,2009.The results show that there is significantly positive relationship between returns and risks.And significant leverage effect can be found in the price volatility of NYMEX crude oil futures market,specifically downward movements in crude oil price exert larger impact on the following volatility than upward movements with the same magnitude.Moreover,according to the results gained by the overlapping samples,positive returns are present in Fridays all the time while the volatility of Friday does not increase accordingly.

关 键 词：石油期货市场 周内效应 杠杆效应 虚拟变量 

分 类 号：F830.91[经济管理—金融学]