上海股市周日历效应及长期记忆研究

Empirical Research on the Day of the Week Effect and Long Memory Effect on Shanghai Stock Market

运用ARMA-GARCH-M、EGARCH-M及FIGARCH-M模型对上海股市A股指数收益率及其波动性的周日历效应进行联合检验;另外还检验了成交量的周日历效应。研究结果表明:(1)风险溢价系数为正值,上海股市的风险传递机制正在发挥作用;(2)股市收益率序列存在显著的周日历效应,并且其异常收益并非来自风险溢价;(3)波动性过程同时存在周日历效应和长期记忆效应;(4)股市交易量同时存在周日历效应和长期记忆效应。最后利用混合分布假说进行了解释,信息可能是周日历效应形成的重要原因。

This study investigates the day of the week effect in the Shanghai Stock Market. The AR-MA-GARCH-M,EGARCH-M and FIGARCH-M modeling strategy employed allows for simultaneous examination of the day of week effects in market return and market variability. Empirical findings show that the day of the week effect is present in both return and volatility equation. In the same time the long mem- ory effect exists in the volatility process and trading volume. The mixed distribution hypothesis （MDH） is employed to explain this phenomenon, with information as one potential important reason.