摘要
资本市场所谓的"周日效应"是许多证券回报率反常现象之一。本文从金融市场风险测量的角度出 发,对中国沪、深股市的日回报率进行了周日效应的实证研究,并且对传统VaR风险度模型进行了改进,然后 通过后续检验支持了对传统风险度模型的周日效应调整,可以得到更加准确的VaR风险度测量的结论。
A vast amount of evidence has been accumulated on the existence of 'week & day' effect in stock returns. Based on the framework for financial market risk measurement, this paper has carried out a empirical research for the indexes of Shanghai and Shenzhen stock exchange,and it concludes an existence of 'week & day' effect. In this paper,I have improved the additional VaR-models, and shown that the 'week & day' effect can improve the estimation of VaR considerably.
出处
《系统工程》
CSCD
北大核心
2004年第11期59-61,共3页
Systems Engineering
