| 中国股市长记忆性的实证分析 |
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| 引用本文： | 赵宏宝,杨桂元.中国股市长记忆性的实证分析[J].科技和产业,2008,8(11):61-63,88. |
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| 作者姓名： | 赵宏宝 杨桂元 |
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| 作者单位： | 安徽财经大学,数量经济研究所,安徽,蚌埠,233041 |
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| 摘 要： | 股票市场收益率的长记忆特征对于系统非线性结构的确定以及市场有效性的研究具有重要的意义。针对上海和深圳的日收益序列，采用非线性R／S方法来检验收益序列的长记忆特征，并用ARFIMA模型对收益率序列的长记忆性做了进一步判断，根据分段分析的结果，得出中国股市渐进趋于有效的结论。
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| 关 键 词： | R/S分析 H指数 ARFIMA模型 长记忆 |
Empirical Analysis of Long-term Memory of Stock of China |
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| ZHAO Hong-bao,YANG Gui-yuan.Empirical Analysis of Long-term Memory of Stock of China[J].SCIENCE TECHNOLOGY AND INDUSTRIAL,2008,8(11):61-63,88. |
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| Authors: | ZHAO Hong-bao YANG Gui-yuan |
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| Institution: | ZHAO Hong-bao,YANG Gui-yuan(Institue of Quantitative Economics,Anhui University of Finance & Economics,Bengbu Anhui 233041,China) |
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| Abstract: | Analysis for the characteristic of long-memory in stock market returns has important sence in research of market effectiveness and framework determination of nonlinear system.According to the index of dayly returns of Shanghai and Shenzhen,the paper utilizes the non-linearity R/S method to examine the long-memory characteristic,and does further judgement using ARFIMA model.According to the partitioned examination results,some valid conclusion of securities market of China have been drawn. |
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| Keywords: | R/S analysis Hindex ARFIMA model long-term memory |
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