摘要
采用沪深300指数的日内数据,运用方差分析并进行方差检验的方法,对各个时点间隔24小时的收益率波动情况进行分析,发现在交易期间收益率方差呈现"W"型变化,且交易时段的收益波动要大于非交易时段的收益波动。
Using variance and variance test, this paper during the 24-hour interval by Shanghai and Shenzhen analyzes the volatility rate for each time point 300 index intraday trading data and finds that the variance of return rate is at a ＂W＂-type changes during trading. during the period of trading is much larger than the volatility during the It also finds that the volatility period of non-trading.
出处
《浙江万里学院学报》
2009年第5期17-21,共5页
Journal of Zhejiang Wanli University
基金
国家自然科学基金(编号:70873113)
关键词
日内波动
收益率
开盘价
收盘价
volatility in one day
income rate
opening price
closing price
