摘要： 本文以职称论文发表我国的沪深300指数作为研究对象，将2005年至2016年的数据划分为牛市和熊市两个时期，并运用EGARCH模型进行周内效应分析。实证结果显示，牛市时期表现出显著为正的周一、周五效应和显著为负的周四效应；而熊市时期表现出显著为负的周一、周二、周四效应；并且无论在牛市还是熊市，正向冲击对未来的影响均比负向冲击大。
关键词： EGARCH模型；周内效应；牛市；熊市

ZHANG Jiaping^1,， WANG Binhui^2,*

（  1、Economics School, Jinan University, Guangzhou 510632；       2、Economics School, Jinan University, Guangzhou 510632；Management School, Jinan University, Guangzhou 510632；  ）

Abstract： Taking the Shanghai and Shenzhen 300 Index as the research object, divide the data from 2005 to 2016 into bull and bear market, employing EGARCH model for day-of-week effects analysis. The results indicate that bull market exhibits significantly positive Monday effect, positive Friday effect, and negative Thursday effect; however, in bear market the Monday effect is by contrast significantly negative, meanwhile, negative Tuesday effect and negative Thursday effect. And whether in bull market or bear market, the influence of positive impact for the future is bigger than negative impact.
Keywords： EGARCH model, day-of-week effects; bull market; bear market