| 沪深股票市场长程记忆相关性研究 |
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| 引用本文： | 张晓莉,严广乐.沪深股票市场长程记忆相关性研究[J].上海理工大学学报(社会科学版),2006,28(3):237-241,248. |
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| 作者姓名： | 张晓莉 严广乐 |
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| 作者单位： | 上海理工大学管理学院 上海200093 |
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| 基金项目： | 国家自然科学基金资助项目(70371070) |
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| 摘 要： | 针对上海和深圳的日收益序列,采用重标级差(R/S分析)对其进行了实证研究.从统计结果来看,样本序列呈现出尖峰、胖尾等有偏特征,明显不满足正态分布的假设,表明收益序列可能具有长程相关或记忆性.采用ARFIMA模型对沪深股市收益率的长期记忆性进行了检验,根据分段检验的结果,得出了一些我国证券市场有效性的结论.
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| 关 键 词： | 分形市场假说 R/S分析 ARFIMA模型 长期记忆特征 |
Empirical analysis of long-term memory of stock market returns of China |
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| ZHANG Xiao-li,YAN Guang-le.Empirical analysis of long-term memory of stock market returns of China[J].Journal of University of Shanghai For Science and Technilogy(Social Science),2006,28(3):237-241,248. |
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| Authors: | ZHANG Xiao-li YAN Guang-le |
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| Institution: | College of Management, University of Shanghai for Science and Technology, Shanghai 200093, China |
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| Abstract: | R/S series analysis is widely used as measures for long memory study in time series.As Hurst parameter estimated bias exists,the precision may be improved by using nonlinear estimate,where ARFIMA model is proposed and used for verification.Finally long memory characters of Chinese stock index and stock samples are revealed by nonlinear R/S analysis. |
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| Keywords: | fractal market hypothesis R/S analysis ARFIMA model long-term memory |
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