An Empirical Evidence on the Day-of-the-Week Effect of Exchange Rate Return and Volatility in China
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    Abstract:

    This paper investigates the day-of-the-week effect on both returns and volatility for RMB/USD and RMB/EURO exchange rates in China from 2005 to 2010 based on modified GARCH-M model. We find that the RMB/USD exchange rate significantly rises up on Tuesday and Thursday, while RMB/EURO is easier to devaluated on Thursday and has Tuesday effect on volatility. There is significant negative relationship between the benefits and risks for the RMB/USD exchange rate, which shows that the higher risk is, the easier RMB/USD exchange rate rises up, probably due to the adaptive expectations of investors in exchange market.

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傅强,梁巧,袁晨.中国汇率收益率及波动的周内效应实证研究[J].重庆大学学报社会科学版,2013,19(1):57~63

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  • Received:
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  • Online: January 21,2013
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