An Empirical Study on the Weekly Effect of Shanghai and Shenzhen 300 Index Futures

Abstract

Shanghai and Shenzhen 300 stock index futures is the first attempt of China's financial futures market. Its in-depth research is conducive to our development and improvement of financial futures market. In this paper, the ARCH effect analysis of the stock price of Shanghai and Shenzhen 300 stock index futures contracts is carried out. Then, the GARCH (1, 1) model is used to test the effect of the week. The results show that there is negative "Thursday effect", and the reasons for the existence of weeks are analyzed. Keywords