中文摘要：

利用修正的GARCH-M模型，检验了中国2005—2010年期间人民币—美元汇率和人民币—欧元汇率收益率及波动的周内效应。研究发现，人民币—美元汇率在周二和周四具有显著升值特征，而人民币—欧元汇率在周四则更容易贬值并同时存在波动性的周二效应，仅在人民币—美元汇率收益率与波动之间呈现显著风险与收益的负向关系，反映出风险越高则人民币—美元汇率越容易升值，这可能是由于汇率市场中投资者的自适应预期所导致。

英文摘要：

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.