The day-of-the-week volatility effect in Taiwan's stock index futures market is puzzle

被引：1

作者：

Liu, Ying-Sing ^{[1
]}

Chen, Ying-Chieh ^{[2
]}

机构：

[1] Jen Teh Jr Coll Med Nursing & Management, Ctr Gen Educ, Houlong, Miaoli County, Taiwan

[2] Jen Teh Jr Coll Med Nursing & Management, Dept Rehabil, 79-9 Sha Lun Hu, Houlong, Miaoli County, Taiwan

来源：

JOURNAL OF INTERDISCIPLINARY MATHEMATICS | 2011年 / 14卷 / 5-6期

关键词：

stock index futures; day-of-the-week volatility effects; frequency trading data;

D O I：

10.1080/09720502.2011.10700778

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

The study aims to measure the unconditional volatility of the Taiwan's stock index futures market through daily and intraday 5-minute frequency trading data, and simultaneously investigate the day-of-the-week volatility and Monday effects. The results indicate that when testing empirical data with daily frequency trading data, the Taiwan's stock index futures market is significantly supported in day-of-the-week volatility and Monday effects. Intraday 5-minute frequency trading data, which are more detailed, are used to test empirical data that have not supported day-of-the-week volatility phenomenon in Taiwan's stock index futures market.

引用

页码：619 / 625

页数：7

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