股价指数的自相关与标度不变性分析

运用基本统计量分析我国股票市场收益率的分布状态,通过比较收益率自相关函数及收益率平方的自相关函数,判断序列的独立性,根据基于标准差时间序列计算的Hurst指数,对股票市场的有效性进行实证研究·结果表明,沪深两市收益率均不服从正态分布,存在非线性相关关系,Hurst指数大于05,股票价格为分形时间序列,表现出长期相关性,市场未达到弱式有效

Autocorrelation of Stock Index and Scaling Invariability

The distribution state of stock markets rate of return by basic statistics was examined the independence of the sequence was studied by the comparasion of autocorrelation function of the square return rates. According to the exponential Hurst index which caculated by the standard deviation time sequence,an empirical study on the efficiency of stock market was performed. The results suggest that the rate of returns in stock market of Shanghai and Shenzhen,does not obey normal distribution but with a nonlinear dependency relation. Exponential Hurst is more than 0 5 and the stock prices are fractal time sequences which show a long term correlation. The stock markets have not reached the soft efficiency.