| 中国股票市场长期记忆特征的实证研究 |
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| 引用本文： | 张晓莉,严广乐.中国股票市场长期记忆特征的实证研究[J].系统工程学报,2007,22(2):190-194. |
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| 作者姓名： | 张晓莉 严广乐 |
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| 作者单位： | 1. 上海对外贸易学院国际经贸学院,上海,201620
2. 上海理工大学管理学院,上海,200093 |
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| 基金项目： | 国家自然科学基金;上海市重点学科建设项目 |
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| 摘 要： | 股票市场收益的长期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.针对上海和深圳的周和日收益序列,采用非线性估计方法提高R/S系列分析估计H参数的精确度.并用ARFIMA模型对沪深股市的收益率的长期记忆性进行了检验,根据分段检验的结果,得出一些中国证券市场有效性的结论.
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| 关 键 词： | 分形市场假说 R/S分析 ARFIMA模型 长期记忆特征 |
| 文章编号： | 1000-5781（2007）02-0190-05 |
| 收稿时间： | 2005-05-08 |
| 修稿时间： | 2005-05-082006-03-01 |
Empirical analysis of long-term memory of stock market of China |
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| ZHANG Xiao-li,YAN Guang-le.Empirical analysis of long-term memory of stock market of China[J].Journal of Systems Engineering,2007,22(2):190-194. |
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| Authors: | ZHANG Xiao-li YAN Guang-le |
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| Institution: | 1. Institut of Foreign Economy and Trade, Shanghai Institute of Foreign Trade, Shanghai 201620, China; 2. School of Management, Shanghai University of Science and Technology, Shanghai 200093, China |
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| Abstract: | Analysis for the characteristic of long-memory in stock market returns has important sense in research of market effectiveness and framework determination of nonlinear system.According to the index of weekly and daily returns of Shanghai and Shenzhen,the paper utilizes the non-linearity estimation method to enhance the precision of the R/S series analysis on estimating the H parameter,and checks the long-memory in stock market returns of Shanghai and Shenzhen using ARFIMA model. According to the partitioned examination results,some valid conclusions of securities market of China have been drawn. |
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| Keywords: | fractional market hypothesis(FMH) R/S analysis ARFIMA model long-term memory |
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