文档介绍：中国股市“周内效应”研究分析
南京理工大学经管学院
王木伟
摘要
“周内效应”(day-of-the-week effect)指股票市场在一周内的某一天的平均收益率比一周内其他任何一天的平均收益率高或者低,且在统计上有显著性。大量的实证研究表明“周内效应”是绝大多数发达国家股票市场和某些新兴国家股票市场普遍存在的一种异象。
本文以我国的沪深股市为研究对象,在使用虚拟变量的基础上,运用广义自回归条件异方差模型(GARCH)对其进行了实证分析,考察其是否存在周内效应。并力图为政府部门监管股市及投资者预测并规避风险提供一定的决策依据。
本文选取的数据是上证综合指数和深证成分指数,样本时间为2009-2010年6月。
首先对收益率的时间序列进行分析,发现所谓波动的集群性,这表明收益率的序列存在异方差性。因此本文采用能够很好地描述金融时间序列数据的异方差的广义自回归条件异方差模型(GARCH)。在引入虚拟变量(dummy variables)的基础上,经过检验,沪深股市都不存在“周内效应”。这表明在众多的发达国家和某些新兴的工业化国家的股票市场上连续而且稳定出现的周内效应在我国的市场几乎不存在。
关键词:周内效应波动性虚拟变量广义自回归条件异方差模型(GARCH)
Abstract
The day of the week effect means that in the stock markets, the yield rate on one day is significant higher or lower than the rest other day during a week. A lot of literature have showed that the day of the week effect exists in most of the developed markets and the newly industried markets.
Based on the dummy variables and the GARCH model , this paper examines whether the day of the week effect exists in the Chinese stock market, and managed to give some advice on the governmental regulations ,as well as to the investor how to anticipate and hedge the risk in the stock market.
The data used in this paper are the practical data in the Shanghai and Shenzhen stock market from 2009 to June 2010.
Firstly, we analysis the time series data of the yield, and find the volatility clustering, which means the data is panied with the heteroskedasticity. We apply the GARCH which can features the heteroskedasticity in the financial time series data. In the test form,neither Shanghai market or Shenzhen market shows the positive weekday effect significantly.
Key Words: the day of the week effect volatility dummy variables GARCH
目录
摘要 1
1 绪论 4
研究的目的与意义 4
研究思路与结构 5
2、ARCH类模型说明 6
ARCH(p)模型 6
、GARCH(p,q)模型 7
AR-GARCH模型 7
3 数据及检验 8
8
AR-GARCH模型进行回归,检验是否存在“周内效应” 10
AR-GARCH应用必要性解释 10
“周内效应”检验过程 11
13
14
参考文献 16
1 绪论
研究的目的与意义
“周内效应”指股票市场在一周内的某