【摘要】 运用GARCH(1,1),GARCH(1,1)-M和EGARCH(1,1)模型,对中国沪深两市收益率进行了收益率均值的周内效应和收益率波动性的周内效应实证分析。同时对样本区间进行分段处理,以检验自1996年起实行的涨跌停板制度对股市周内效应是否存在削弱作用。研究发现,中国股票市场在相应的样本区间存在显著的周内效应,但是在不同区间周内效应的具体分布不尽相同。同时发现,股票风险的增加能够增大收益率,且收益率的波动性存在杠杆效应。更多还原

【Abstract】 The week effect is one of the anomalies in financial markets, which means that the returns on different trading day are different and statistically significant. Week effect includes the weekday effects on average stock returns and its volatility. This paper applies GARCH( 1,1), GARCH( 1,1)- M and EGARCH( 1,1) models to the Shanghai and Shenzhen’ s stock returns. Meanwhile, time interval was made to analyze whether price limits implemented since 1996 weakens the week effects. Study finds that in China’ s stock market in the corresponding sample interval,the significant week effect exists, while the specific distribution of week effects is different from each other. Moreover, the yield increases with the volatility and the leverage effect of yield volatility exists.更多还原