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中国农学通报

中国农学通报 ›› 2011, Vol. 27 ›› Issue (26): 223-226.

所属专题： 现代农业发展与乡村振兴

• 三农问题研究 • 上一篇    下一篇

农业上市公司周内效应实证研究

胡一朗   

  • 收稿日期:2011-03-30 修回日期:2011-04-16 出版日期:2011-10-15 发布日期:2011-10-15
  • 基金资助:

    证券市场问题定量化研究

A Empirical Study of Weekday Effect Based on Agriculture Listed Companies

  • Received:2011-03-30 Revised:2011-04-16 Online:2011-10-15 Published:2011-10-15

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摘要：

运用广义误差分布的GARCH（1，1）模型，基于“牛市”和“熊市”行情，实证分析农业上市公司周内效应。主要结论有：农业上市公司日收益率存在周一效应和周五效应。 “牛市”中显著为正，“熊市”中显著为负。最后提出政策建议。

关键词: 分子育种, 分子育种

Abstract:

In this paper ,the generalized error distribution of GARCH models was used to analysis weekday effect of agriculture listed companies,based on “bull market” and “bear market”.the results showed that there was a significant positive effect of the Monday and Friday in “bull market” and a significantly negative Monday effect in “bear market”.Finaly some suggestions are given.