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An Empirical Study on the Day-of-the-week Effect of China’s Stock Market Based on GARCH-t-M Model

Author: WanMeng
Tutor: SunJianJun
School: Hainan University
Course: Finance
Keywords: Week Effect China's stock market GARCH-t-M model
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 90
Quote: 0
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Abstract


Based on the Chinese stock market week Empirical research , in order to achieve the following objectives . First, the theory of efficient markets hypothesis testing in Chinese stock market is established ; Second, to study effects of other calendars provide some way ; Third, the Chinese securities regulator decision-making basis for the majority of investors offering trading opportunities proposal . In this paper, January 4, 2000 to September 30, 2010 on the Shanghai Composite Index and Shenzhen Component Index closing price as the sample data , using the Lagrange multiplier method (Lagrange Multiplier) test Chinese stock market returns the existence of ARCH effect . Normality test showed that both the Shanghai and Shenzhen stock market returns to meet the t-distribution , considering the effect of risk on the week , the paper selected GARCH (1,1)-tM model to verify the existence of the Chinese stock market are significant weekday effect . The empirical results show that the Chinese stock market in general exist \Shanghai Shenzhen risk factors and yields a positive correlation between the two cities . In Shenzhen , Shanghai more than speculation . Negative \

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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