统计研究 ›› 2004, Vol. 21 ›› Issue (8): 33-5.

• 论文 • 上一篇    下一篇

我国期货市场期货价格收益及条件波动方差的周日历效应研究

华仁海   

  1. 南京财经大学
  • 收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2004-08-15 发布日期:2004-08-15

  • Received:1900-01-01 Revised:1900-01-01 Online:2004-08-15 Published:2004-08-15

Abstract: This paper investigates the day of the week effect on China futures markets returns and conditionalvariance(volatility)using the GARCH model. Results obtained indicate that both futures price returns andvolatility of copper, aluminum, rubber in Shanghai Futures Exchange and soybean in ZhengzhouCommodity Exchange have no day of the week effect, but futures price returns and volatility of wheat inDalian Commodity Exchange have no day of the week effect.