| 中国股票市场的日内波动特征研究 |
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| 引用本文： | 刘东艳,张艳辉,陈超.中国股票市场的日内波动特征研究[J].浙江万里学院学报,2009,22(5):17-21. |
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| 作者姓名： | 刘东艳 张艳辉 陈超 |
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| 作者单位： | 1. 河北工业大学,天津,300401
2. 浙江万里学院,浙江,宁波,315100 |
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| 摘 要： | 采用沪深300指数的日内数据，运用方差分析并进行方差检验的方法，对各个时点间隔24小时的收益率波动情况进行分析，发现在交易期间收益率方差呈现“W”型变化，且交易时段的收益波动要大于非交易时段的收益波动。
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| 关 键 词： | 日内波动 收益率 开盘价 收盘价 |
Characteristics of the Study on the Fluctuations in One Day of China's Stock Market |
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| LIU Dong-yan,ZHANG Yan-hui,CHEN Chao.Characteristics of the Study on the Fluctuations in One Day of China''s Stock Market[J].Journal of Zhejiang Wanli University,2009,22(5):17-21. |
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| Authors: | LIU Dong-yan ZHANG Yan-hui CHEN Chao |
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| Institution: | 1. Hebei University of Technology,Tianjin 300401;2. Zhejiang Wanli University,Ningbo Zhejiang 315100) |
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| Abstract: | Using variance and variance test, this paper during the 24-hour interval by Shanghai and Shenzhen analyzes the volatility rate for each time point 300 index intraday trading data and finds that the variance of return rate is at a ＂W＂-type changes during trading. during the period of trading is much larger than the volatility during the It also finds that the volatility period of non-trading. |
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| Keywords: | volatility in one day income rate opening price closing price |
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