| 中国股市长记忆的修正R/S分析 |
| |
| 引用本文： | 胡彦梅,张卫国,陈建忠.中国股市长记忆的修正R/S分析[J].数理统计与管理,2006,25(1):73-77. |
| |
| 作者姓名： | 胡彦梅 张卫国 陈建忠 |
| |
| 作者单位： | 1. 宁夏大学,宁夏,银川,750021
2. 西北工业大学,西安,710072 |
| |
| 摘 要： | 本文在比较各种长记忆检验方法优缺点的基础上,采用修正的R/S分析检验我国沪深两股市日收益和日绝对收益序列的长记忆性。结果表明在0.05的显著水平下,两股市的日收益序列均无长记忆,但深圳成指日收益序列的记忆长度比上证综指日收益序列的记忆长度长;以日绝对收益序列为代表的波动序列具有较强的长记忆性。
|
| 关 键 词： | 长记忆 修正R/S分析 Hurst指数 |
| 文章编号： | 1002-1566(2006)01-0073-05 |
| 收稿时间： | 2004-02-09 |
| 修稿时间： | 2004年2月9日 |
Modified R/S Analysis of Long Memory Property in China Stock Market |
| |
| HU Yan-mei,ZHANG Wei-guo,CHEN Jian-zhong.Modified R/S Analysis of Long Memory Property in China Stock Market[J].Application of Statistics and Management,2006,25(1):73-77. |
| |
| Authors: | HU Yan-mei ZHANG Wei-guo CHEN Jian-zhong |
| |
| Abstract: | On the basis of weighing advantages and disadvantages of various methods of testing long memory property,modified R/S analysis is adopted to examine long memory property for daily return and daily absolute return of our stock market.Under 5 percent significant level,the following results are obtained.For daily return series,no long memory exists in both of Shenzhen and Shanghai indexes,but memory length of Shenzhen is longer than that of Shanghai;while volatility series represented by daily absolute return series present stronger long memory property. |
| |
| Keywords: | Long memory Modified R/S analysis Hurst index |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
