摘要
This paper investigates the day of the week effect on China futures markets returns and conditional variance(volatility)using the GARCH model.Results obtained indicate that both futures price returns and volatility of copper,aluminum,rubber in Shanghai Futures Exchange and soybean in Zhengzhou Commodity Exchange have no day of the week effect,but futures price returns and volatility of wheat in Dalian Commodity Exchange have no day of the week effect.
This paper investigates the day of the week effect on China futures markets returns and conditional variance(volatility)using the GARCH model.Results obtained indicate that both futures price returns and volatility of copper,aluminum,rubber in Shanghai Futures Exchange and soybean in Zhengzhou Commodity Exchange have no day of the week effect,but futures price returns and volatility of wheat in Dalian Commodity Exchange have no day of the week effect.
出处
《统计研究》
CSSCI
北大核心
2004年第8期33-37,共5页
Statistical Research
