| 中国证券市场周内效应的实证检验 |
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| 引用本文： | 方杰. 中国证券市场周内效应的实证检验[J]. 福建商业高等专科学校学报, 2011, 0(3): 89-93 |
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| 作者姓名： | 方杰 |
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| 作者单位： | 福建江夏学院金融系,福建福州,350007 |
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| 摘 要： | 通过使用EGARCH模型,以中国证券市场具有代表性的三个指数为研究对象,从实证的角度分析市场异象中的周内效应.结果表明,从长期看,我国证券市场存在显著的周一效应.从短期看,证券市场大盘处于上升期还存在周二、周三甚至是周四效应;在下跌横盘期,周内效应不显著;在上升横盘期除了周一效应显著外,还存在显著的周五效应.上升期和下...
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| 关 键 词： | EGARCH模型 市场异象 周内效应 日历效应 波动率 |
Empirical Test on Week Effect of China's Security Market |
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| FANG Jie. Empirical Test on Week Effect of China's Security Market[J]. Journal of Fujian Commercial College, 2011, 0(3): 89-93 |
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| Authors: | FANG Jie |
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| Affiliation: | FANG Jie(Department of Finance,Fujian Jiangxia College,Fuzhou,Fujian,350007) |
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| Abstract: | With EGARCH models,this paper estimates three representative stock indices to analyze the week effect of security market.The results are the following: there exists significant Monday effect in the long-term and significant Monday,Tuesday,Wednesday or even Thursday effect in the short-term when the market is booming;week effect is not significant when the market is in plummet-stable period;Monday and Friday effect is significant in the boom-stable period;the information impact is asymmetric significantly in... |
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| Keywords: | EGARCH model Market anomalies Week effect Calendar effect Volatility |
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