股市收益率与交易量长记忆性实证研究

从计量经济学及统计学的角度,运用重标极差分析、修正重标极差分析、KPSS检验及Granger因果检验等方法,对我国沪深股市收益率与交易量的长记忆性特征进行了实证分析,并进一步研究了股市收益率与交易量之间的相互关系.重标极差分析及修正重标极差分析的实证研究结果表明,收益率及交易量序列的Hurst指数均大于0.5,且成交量序列的Hurst指数明显高于收益率序列;此外收益率及交易量的KPSS统计结果对于所有滞后阶数均显著.上述结果说明中国股市收益率和成交量均具有长记忆性特征,且成交量的长记忆性强于收益率的长记忆性;Granger因果检验结果表明收益率和成交量之间存在着相互引导关系.

An Empirical Research on Long-Term Memory of Returns and Trading Volumes of Stock Markets in China

From the perspectives of econometrics and statistics,the long-term memory of returns and trading volumes of stock markets in China was studied by adopting rescaled range analysis,modified rescaled range analysis,KPSS and Granger causality test,and the interrelationship between returns and trading volumes was studied as well.The results of rescaled range analysis and modified rescaled range analysis indicate that the Hurst exponents of return series and trading volume series are both greater than 0.5 and the Hurst exponents of trading volume series are significantly greater than those of return series.In addition,the KPSS statistics of return series and trading volume series are all significant for all lag orders,which suggests that returns and trading volumes of stock markets in China have a long-term memory,with the long-term memory of trading volumes being stronger than that of returns.Moreover,Granger-causality test proved that a relationship of mutual causality exists between returns and trading volumes.