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本文选取2002年1月至2011年6月期间我国期货市场较活跃的期货品种为样本,对其收益率、条件波动率、交易量和持仓量的周内效应进行实证,通过引入正态分布、Student-t分布及广义误差分布(GED)三种分布假设以刻画扰动项,更全面地检验周内效应的存在性及存在模式。实证结果显示我国期货市场周内效应受我国期货市场投资者结构的影响尤其是个人投资者的影响,检验的结论与研究方法有较大关系,其中误差项分布直接影响实证结论。实证结果还显示不同期货品种在不同样本时期表现为不同的周内模式,但总体上在期货市场整顿的初期未有周内效应,随后均呈现出正周一效应即反转的周一效应,且不同收益率的周内效应模式也不尽相同。
In this paper, the futures varieties with more active futures market in China from January 2002 to June 2011 are selected as samples, and the empirical analysis of the weekly effect of the returns, conditional volatility, trading volume and open interest is conducted. By introducing the normal distribution, Student-t distribution and generalized error distribution (GED) are three kinds of distributional assumptions to characterize the perturbation term, and more comprehensively test the existence and existence mode of the week effect. The empirical results show that the effect of China’s futures market in the week is affected by the investor structure of China’s futures market, especially the impact of individual investors. The conclusion of the test has a great relationship with the research methods. The distribution of error items directly affects the empirical conclusions. The empirical results also show that different futures showed different weekly patterns in different sample periods. However, overall there was no weekly effect in the initial stage of the rectification of the futures market, followed by a Monday effect that the positive Monday effect was reversed and the difference was different Weekly effects of yield patterns are also different.