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本文选择合适的GARCH-t-M模型对中国股市是否存在周内效应进行了考察。研究发现,沪深两市都存在显著为负的周四效应,中国股市的收益率与市场风险有较显著的正向关系。
This paper selects the appropriate GARCH-t-M model to examine whether there is a week-long effect on the Chinese stock market. The study finds that there is a significant negative Thursday effect in Shanghai and Shenzhen stock markets, and the yield of China’s stock market has a significant positive relationship with market risk.