中国开放式基金收益及其波动性的周内效应研究

The Day-of-the-week Effect on Returns of Open-end Fund and Its Volatility in China

了解基金收益及其波动性是否存在周内效应对投资者非常重要,投资者可以利用收益及其波动性的变动信息调整投资组合,增加投资收益。运用均值方程含有虚拟变量的GARCH(1,1)模型和条件方差方程含有虚拟变量的修正的GARCH(1,1)模型,我们分别对2003年6月1日至2005年8月18日期间中国开放式基金收益的周内效应和收益波动性的周内效应进行实证研究,结果显示,在研究期间内样本基金收益及收益的波动性在周三这一天显著不同于其他交易日,即存在“周三效应”。

It is important for the investors to knew if there exists the day- of- the- week effect on retums and volatility. Having such knowledge may allow the investors to adjust their portfolios to increase their retums. Using GARCH（ 1,1 ） model with dummy variables in return equation and modified GARCH（ 1,1 ） model with dummy variables in conditional variance equation, the writer of this paper conducts an empirical investigation into the day-of-the-week effect on returns and volatility in open-end fund during the period of June 1,2003 and August 18, 2005 in China respectively. The findings indicate that the average returns and the volatility in open-end fund on Wednesday are significantly deferent from those over the other weekdays. It indicates the Wednesday effect is present in both retums and volatility.