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Transcription:

1 2003 2 34 U L S 5 20022000 1

2

n n t t L = v r 100 = 1 t = 1 t v t tt-r t 3

1SHFE 4

2SHFE 5

6

KW DF Pr > KW KW DF Pr > KW 3 7

8

4 9

10

SHFE 1 r t+i t i t m 2 1/2 rti, i= 1 σ = ( ) t m 11

2 ADF τ Pr> τ ADF τ Pr> τ ADF τ Pr> τ 3 k ln L = µ + θ ln L + ασ + β ln v + γ ln O + λtr + ε t i t i t t t t t i= 1 k σ t t v t O t TR t t ε t 4 12

7 0 7 t t t µ 0.1111 8.80(<.0001) * 0.2554 12.12(<.0001) 0.3 8.88(<.0001) α -0.1474-10.12(<.0001) -0.3893-14.04(<.0001) -0.2067-12.01(<.0001) β 0.5241 43.52(<.0001) 0.512 28.04(<.0001) 0.5279 19.95(<.0001) γ 0.2045 6.14(<.0001) 0.1367 2.58(0.0099) 0.3022 5.49(<.0001) λ 0.0601 3.52(0.0004) 0.0079 0.60(0.5483) 0.0392 1.38(0.1672) θ 1 0.4241 14.04(<.0001) 0.2667 8.93(<.0001) 0.2944 9.83(<.0001) θ 2 0.2428 8.01(<.0001) -0.0475-1.53(0.1264) θ 4-0.0512-1.80(0.0720) -0.1096-3.52(0.0004) θ 5-0.1214-3.95(<.0001) θ 6-0.2175-6.77(<.0001) θ 7-0.1007-3.24(0.0012) θ 8-0.0854-2.72(0.0067) θ 9-0.0377-1.14(0.2561) -0.0748-2.53(0.0115) θ 10-0.0805-2.57(0.0104) R Square 0.7736 0.5623 0.5007 * p 13

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, 1-15. 14

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, 159-179. 3. 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, 43-48. 5. Cornett, M.M., and Trevino, R.C., (1989), Monthly return patterns on commodity futures contract, Review of Futures Markets, Vol.8, 86-103. 6. 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, 605-615. 7. 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, 142-157. 8. 2001, 11 3 205-221 9. 2002 10. 2002 11. 2003 () 15