沪深300股指期货的周内效应实证研究
An Empirical Study on the Weekly Effect of Shanghai and Shenzhen 300 Index Futures
DOI: 10.12677/MM.2018.83037, PDF,    国家科技经费支持
作者: 何 军：南京优速网络科技有限公司，江苏 南京；李秀丽*, 邵 琪*, 胡小平：东南大学经济管理学院，江苏 南京
关键词: 沪深300股指期货；周内效应；ARCH效应；GARCH模型；Shanghai and Shenzhen 300 Stock Index Futures； Week Effect； ARCH Effect； GARCH Model
摘要: 沪深300股指期货是我国金融期货市场的首次尝试，对其深入的研究有利于我们开发与完善金融期货市场。本文首先对沪深300股指期货合约价格的对数收益率进行了ARCH效应检验分析，然后利用GARCH (1, 1)模型进行了周内效应的检验，结果发现沪深300股指期货存在负的“周四效应”，并对存在周内效应的原因进行了分析。
Abstract: Shanghai and Shenzhen 300 stock index futures is the first attempt of China’s financial futures market. Its in-depth research is conducive to our development and improvement of financial fu-tures market. In this paper, the ARCH effect analysis of the stock price of Shanghai and Shenzhen 300 stock index futures contracts is carried out. Then, the GARCH (1, 1) model is used to test the effect of the week. The results show that there is negative “Thursday effect”, and the reasons for the existence of weeks are analyzed.
文章引用：何军, 李秀丽, 邵琪, 胡小平. 沪深300股指期货的周内效应实证研究[J]. 现代管理, 2018, 8(3): 329-334. https://doi.org/10.12677/MM.2018.83037

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