上海股市收益与波动的周内效应研究

Weekday Effect on Shanghai Stock Market Return and its Volatility

股市周内效应一直是金融投资者关注的焦点问题,许多学者已做了大量研究,但多数文献将收益与波动的周内效应分开来进行研究和检验,忽视了波动与收益的共生性,其结果缺乏严密性和说服力。针对这种情况,提出平行数据GARCH模型并给出了参数的极大似然估计方法,进而对上海股市收益和波动的周内效应进行检验,既反映收益与风险存在共生关系,又避免了分别判断收益和波动的周内效应所致的缺点。

Finance investors always focus on the weekday effect of the stock market which has been studied by many scholars. But the weekday effect of stock return and its volatility has been made separately in many literatures in which the accretion between stock return and its volatility is ignored. As a result, there is a shortage of strictness and persuasion. To solve this problem, this paper puts forward panel data GARCH model and the maximum likelihood estimation of the model family based on numerical methods. Moreover, the weekday effect in Shanghai stock market is well verified, which not only reflects the accretion between return and its volatility but also avoids the shortcoming in estimating weekday effect of the stock return and its volatility separately.