我国期货市场周内效应模式的实证研究

中国管理科学 ›› 2014, Vol. 22 ›› Issue (11): 36-43.

我国期货市场周内效应模式的实证研究

戴晓凤, 卢丽芳

湖南大学金融与统计学院, 湖南长沙 410079

收稿日期:2012-07-18 修回日期:2013-07-03 出版日期:2014-11-20 发布日期:2014-11-21
作者简介:戴晓凤(1960-),女(汉族),湖南长沙人,湖南大学金融与统计学院教授,研究方向:金融市场与投资.

An Empirical Study on the Mode of the Day-of-the-week Effect in China's Futures Market

DAI Xiao-feng, LIU Li-fang

School of Finance and Statistics, Hunan University, Changsha 410079, China

Received:2012-07-18 Revised:2013-07-03 Online:2014-11-20 Published:2014-11-21

摘要/Abstract

摘要： 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。

关键词: 中国期货市场, 周内效应模式, 误差项分布

Abstract: In this paper, relatively active contracts in China's futures market are selected from January 2002 to June 2011 as the samples, to test their day-of-the-week effect of the rate of return, conditional volatility, trading volume and open interest. In order to test the existence of the day-of-the-week effect and mode of existence more comprehensive, three kinds of distribution assumptions are introduced to portray the disturbance term, such as normal distribution, Student-t distribution and generalized error distribution(GED), to modify the traditional GARCH model. The empirical results show that the day-of-the-week effect of China's futures market is affected by its investor structure, especially individual investors, and its test results is associated with the research methods, in which the error term distribution directly affects the results. It also shows different futures in different sample periods has different day-of-the-week effect modes. But in the early stages of rectification in the futures market, the day-of-the-week effect has no found, and subsequently showed the positive Monday effect or reversal of the Monday effect. If the rate of return is different, the day-of-the-week effect mode is not the same.

Key words: China's futures market, day-of-the-week effect mode, error term distribution

中图分类号:

F830.91

戴晓凤, 卢丽芳. 我国期货市场周内效应模式的实证研究[J]. 中国管理科学, 2014, 22(11): 36-43.

DAI Xiao-feng, LIU Li-fang. An Empirical Study on the Mode of the Day-of-the-week Effect in China's Futures Market[J]. Chinese Journal of Management Science, 2014, 22(11): 36-43.

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