我国基金风格资产收益长记忆性分析——基于修正R/S方法的研究

证券市场是个典型的非线性复杂系统。本文运用修正R/S分析法对我国基金风格资产收益单一分形的基本统计特征进行检验,并与经典R/S方法进行对比分析。研究结果表明:在日、周、月等三种时间标度下Hurst指数均显著大于0.5,表现为持久相关性特征,说明股市风格具有长记忆性;从经典R/S分析结果看,我国股市风格具有显著的分形结构特征,风格资产指数收益率序列具有长记忆性,不同风格资产的业绩具有不同的周期性。

Long Memory Analysis of Fund Style Asset Return in China:Based on Modified R/S Method

Securities market is a typical complicated nonlinear system.This paper uses modified R/S analysis to inspect single fractal basis statistical characteristics in fund style asset returns,and compares the result with the classic R / S method.The results show that,in the day,week and month time scale Hurst exponent is significantly greater than 0.5,for the enduring relevance of the performance characteristics,indicating that the stock market style has a long memory characteristics.From the classic R/S analysis...