上证指数收益和波动性的星期效应检验

The-day-of-the-week Effect on Return and Volatility in Shanghai Stock Market

本文利用AR (m) -GARCH模型 ,同时检验 1992年 5月 2 1日至 2 0 0 2年 6月 2 1日上证综合收益及其波动性的星期效应 ,发现收益和波动性都存在显著的星期效应 :周五平均收益最高 ,周一平均收益最低 ,周四波动最大 ,周五波动最小。文章还分别检验了 10 %涨跌停板制度前后两个时期的星期效应 ,发现都是周五平均收益最高 ,但两个时期星期效应的模式存在一定的差异。

This paper studies the-day-of-the-week effect on Shanghai stock market by using the composite index during the period from May 21, 1992 to June 21, 2002. The empirical research was conducted by using the AR(m)-GARCH model. Results obtained indicate the significance of the-day-of-the-week effect on both stock returns and volatility. While the highest and lowest returns are observed on Friday and Monday, respectively, the highest and lowest volatilities are observed on Thursday and Friday. We also test the-day-of-the-week effect during the pre-and post-10% price limit period. We find that Friday has the highest returns during both of the periods, but there exist some significant differences in the form of the-day-of-the-week effect between the two periods.