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基于周内效应的我国股票市场量价关系的研究 被引量:1

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摘要 运用修正GARCH模型对我国股票市场的波动性和交易量的周内效应进行实证研究结果显示:我国的沪深两市无论是收益率的波动性还是成交量都存在周内效应,两市波动性有显著为负的周二效应,波动性的幅度在周内是逐渐减小的;同时交易量有显著负的周一效应,随后逐步攀升,周四达到最大值,周五小幅回调。通过比较波动性和成交量的周内模式,发现波动性的幅度与成交量之间存在负向变动关系,即存在小的波动变化与大成交量的相伴出现。
出处 《福建论坛(人文社会科学版)》 CSSCI 北大核心 2009年第7期21-24,共4页 Fujian Tribune
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