基于EGARCH-M模型的沪深300指数周末效应研究
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摘要
将EGARCH模型和GARCH-M模型相结合,建立了基于学生t分布的EGARCH-M模型,在综合考虑沪深300指数收益率序列的波动性和杠杆效应等问题的基础上,分析了周末效应对沪深300指数收益率序列的影响程度。通过分析得出沪深300指数总体平稳并呈现ARCH效应,序列不仅具有波动性和杠杆效应,同时有显著的周二正效应,周四负效应,且周二、周四的超额收益率都包含了当天的风险补偿,周一、周三、周五则没有周末效应。
Combining EGARCH model with GARCH-M model, a model based on student t distribution is established. Based on considering volatility and leverage effect of Shanghai Shenzhen 300 Index return series, this paper analyzes the influence degree of weekend effect on return sequence of CSI 300 Index. Through analysis we conclude that CSI 300 index is stable and presents ARCH effect, which not only has volatility and leverage effect,but also has significant tuesday positive effect and negative effect on thursday. And excess yields on tuesday and thursday include risk compensation for the day and no weekend effects on monday, wednesday,and friday.
Combining EGARCH model with GARCH-M model, a model based on student t distribution is established. Based on considering volatility and leverage effect of Shanghai Shenzhen 300 Index return series, this paper analyzes the influence degree of weekend effect on return sequence of CSI 300 Index. Through analysis we conclude that CSI 300 index is stable and presents ARCH effect, which not only has volatility and leverage effect,but also has significant tuesday positive effect and negative effect on thursday. And excess yields on tuesday and thursday include risk compensation for the day and no weekend effects on monday, wednesday,and friday.
引文
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[2]FRENCH K R.Stock returns and the weekend effect[J].Journal of Financial Economics,1980,8(1):55-69.
[3]JAFFE J,WESTERFIELD R.The week-end effect in common stock returns:the international evidence[J].Journal of Finance,2012,40(2):433-454.
[4]戴国强,陆蓉.中国股票市场的周末效应检验[J].金融研究,1999(4):48-54.
[5]范钛,张明善.中国证券市场周末效应研究[J].中国管理科学,2002,10(2):14-17.
[6]曹玲娟,陈园.中国股市周末效应实证研究——基于上证指数、深证成指变动分析[J].宜春学院学报,2016,38(8):31-36.
[7]ENGLE R F.Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation[J].Econometrica,1982,50(4):987-1007.
[8]BOLLERSLEVB T.Generalized autoregressive conditional heteroskedasticity[J].Journal of Econometrics,1986,31(3):307-327.
[9]ENGLE R F,LILIEN D M,ROBINS R P.Estimating time varying risk premia in the term structure:the arch-m model[J].Econometrica,1987,55(2):391-407.
[10]BOLLERSLEV T,MIKKELSEN H O.Modeling and pricing long memory in stock market volatility[J].Journal of Econometrics,1996,73(1):151-184.