摘要
首次系统探讨上海黄金市场从成立(2002年10月30日)至2007年6月29日期间收益和波动的周日历效应,并进一步研究与同期伦敦黄金市场周日历效应之间的关系。结果表明:上海黄金市场存在收益周一、周四正效应,波动周一、周三、周五高效应和周二、周四低效应,周日历效应整体显著;伦敦黄金市场存在周三、周五收益正效应,周三高波动和周五低波动效应,但整体的周日历效应并不显著;伦敦黄金市场收益周日历效应可以显著解释上海黄金市场收益周日历效应,收益周日历效应具有跨市场传递性;上海黄金市场的价格发现能力和有效性皆逊于伦敦;此外,两个市场都表现出杠杆效应。
This paper investigates the day of the week effect of return and volatility from the establishment of Shanghai Gold Market to June 2007,and the relationship between London and Shanghai Gold Markets at the same period for the first time.The results show that:the day of the week effect is notable in Shanghai gold market,but it is not so in London gold market.Besides,we find that the day of the week effect of return in London gold market can significantly explain that in Shanghai gold market,both the price discovery capability and effectiveness are more notable in London gold market than in Shanghai gold market,the two markets have shown the leverage effect.
出处
《中国管理科学》
CSSCI
2008年第S1期287-292,共6页
Chinese Journal of Management Science
