Empirical Analysis on Return Distribution and Price-volume of SZCI
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Abstract:
This paper focuses on the day-of-the-week effect and contingency/persistency of the return rate series and the volatility in shenzhen stock index.It argues that there is not the day-of-the-week effect in return rate series but one to two weeks of contingency, while there is the day-of-the-week effect and persistency in volatility, and the trading volume is helpful to interpret the volatility.
