| 我国房地产业股价波动长记忆性的R／S分析 |
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| 引用本文： | 颜慧菁,魏宇,温晓倩. 我国房地产业股价波动长记忆性的R／S分析[J]. 西南交通大学学报(社会科学版), 2010, 11(5): 82-85 |
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| 作者姓名： | 颜慧菁 魏宇 温晓倩 |
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| 作者单位： | [1]西南财经大学金融学院,四川成都610074 [2]西南交通大学经济管理学院,四川成都610031 |
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| 基金项目： | 国家自然科学基金，教育部新世纪优秀人才支持计划 |
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| 摘 要： | 房地产上市公司股票一直是各类投资基金重要的资产配置对象，因此，对其价格波动的定量特征进行精确的刻画和描述具有重要的现实意义。以我国上市公司房地产行业指数和万科A股日收益数据为实证样本，运用重标极差法（R／S）探讨房地产上市公司股价波动的长记忆特征，结果表明：我国房地产上市公司的股价波动存在显著的长记忆特征，且行业总体的长期记忆强度明显高于个股；与成熟资本市场相比，我国房地产上市公司股价波动的长记忆程度更高。
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| 关 键 词： | 房地产行业 股价波动 长期相关性 R／S分析 分形研究 |
R/S Analysis on Long-Memory Volatility of Stock Price of Chinese Real Estate Industry |
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| YAN Hui-jing,WEI Yu,WEN Xiaoqian. R/S Analysis on Long-Memory Volatility of Stock Price of Chinese Real Estate Industry[J]. Journal of Southwest Jiaotong Universit(Social Science Edition), 2010, 11(5): 82-85 |
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| Authors: | YAN Hui-jing WEI Yu WEN Xiaoqian |
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| Affiliation: | 1. School of Finance, Southwestern University of Finance and Economics, Chengdu 610074, China ; 2. School of Economics and Management, Southwest Jiaotong University, Chengdu 610031, China) |
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| Abstract: | Stocks of real estate industry are always important targets of assets allocation of various investment funds, so it is significant to describe accurately the valatility of price of stocks. Taking real estate industry index of Chinese list companies and stock price of Wanke company as example, this paper investigates the long-memory features of Chinese real estate industry. The empirical R/S analysis shows that the stock price volatilities of real estate companies present significant long-memory characteristics and the whole industry shows stronger significance than that of individual stock. Furthermore, long-memory volatility in Chinese stock market is more significant than that in developed capital markets. |
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| Keywords: | real estate industry volatility of stock price long-term relativity R/S analysis fractalstudy |
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