| 上证综指收益率的长记忆研究 |
| |
| 引用本文： | 张志朝,陈年红.上证综指收益率的长记忆研究[J].广西财经学院学报,2009,22(1). |
| |
| 作者姓名： | 张志朝 陈年红 |
| |
| 作者单位： | 安徽财经大学,安徽,蚌埠,233030 |
| |
| 摘 要： | 运用一种新的非参数统计方法即重标方差V/S分析方法考察上证股市收益的长期记忆效应,该方法比R/S分析与修正的R/S分析更稳健.研究表明:上证股市总体样本日、周收益率的Hurst指数均小于0.5,即不存在显著的长记忆效应,呈现反持续性.
|
| 关 键 词： | 长记忆性 重标方差R/S Hurst指数 |
Study on Long Memory of Shanghai Composite Index Return |
| |
| ZHANG Zhi-zhao,CHEN Nian-hong.Study on Long Memory of Shanghai Composite Index Return[J].JOURNAL OF GUANGXI UNIVERSITY OF FINANCE AND ECONOMICS,2009,22(1). |
| |
| Authors: | ZHANG Zhi-zhao CHEN Nian-hong |
| |
| Institution: | Anhui University of Finance and Economics;Bengbu 233030;China |
| |
| Abstract: | Applying a new nonparametric statistical method,namely rescaled variance V/S analysis method,this papen made an investigation on the long memory effects of Shanghai composite index return.This method is more stable than R/S analysis and corrected R/S analysis.The research showed that all Hurst Exponent of daily and weekly return of Shanghai stock samples were smaller than 0.5,which meant there were no obvious long memory effects,but anti-persistence were presented. |
| |
| Keywords: | V/S |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
