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13 7 0 7 t t t µ (<.0001) * (<.0001) (<.0001) α (<.0001) (<.0001) (<.0001) β (<.0001) (<.0001) (<.0001) γ (<.0001) (0.0099) (<.0001) λ (0.0004) (0.5483) (0.1672) θ (<.0001) (<.0001) (<.0001) θ (<.0001) (0.1264) θ (0.0720) (0.0004) θ (<.0001) θ (<.0001) θ (0.0012) θ (0.0067) θ (0.2561) (0.0115) θ (0.0104) R Square * p 13
14 U L S 5 SHFE SHFE LME SHFE LME 1. Amihud, Y., and H. Mendelson, (1988), Liquidity and asset prices: Financial management implications, Financial Management Spring,
15 2. Andersen, T.G., T. Bollerslev, F.X. Diebold and P. Labys (2000), Exchange rate returns standardized by realized volatility are (nearly) gaussian, Multinational Finance Journal, 4, Andersen, T. G., T. Bollerslev, F. X. Diebold, and P. Labys (2001), Modeling and forecasting realized volatility, working paper, Department of Finance, Northwestern University. 4. Miller, E.M. (1998), Why a weekend effect?, Journal of Portfolio Management, Vol.14, Cornett, M.M., and Trevino, R.C., (1989), Monthly return patterns on commodity futures contract, Review of Futures Markets, Vol.8, Martikainen, T., Perttunen, J. and Puttonen, V.,(1995), Finnish turn-of-the- month effects: returns, volume, and implied volatility, Journal of Futures Markets, Vol.15, Keim, D.B. and Smirlock, M.,(1989), Pricing patterns in stock index futures, in Handbook of Stock Index Futures and Options, Dow Jones-Irwin, Homewood, Illinois, , () 15
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