中国股票市场星期效应的实证分析──主成份分析

ANALYSING WEEKLY EFFECT OF CHINESE STOCK MARKET THROUGH PRINCIPAL FACTOR ANALYSIS

本文利用主成份分析的方法，构造代表中国股市日收益率波动的第一主成份序列，通过对这一序列的残差进行自相关性与异方差性检脸，选用（Ａ（２）－Ａ（１））～ＧＡＲＣＨ模型．分析中国股票市场“星期效应”的存在性与特征．

In this paper, method of the Principal Component Analysis is used to make the first principal component series. It represents the general fluctuation of chinese stock market. The test of autoregression and heteroskedastion is made for the series,so the model of (A(2)-A(1)~GARCH is chosen. The existence and character of weekend effect about chinese stock market is got through analysing the series.