上证股市收益的长期记忆:基于V/S 的经验分析

运用V/S分析考察我国股市收益的长期记忆效应,分别诊断上证A、B股市日收益总体样本的长期记忆效应,在运用ICSS方法探测方差漂移突变划分股票市场阶段性的基础上诊断股市收益不同阶段的长期记忆效应,并考察随机抽取的部分个股.研究表明:上证A、B股市收益总体样本都不存在显著的长期记忆,B股市场的长期记忆效应相对更显著;A、B股市场收益分别发生了两次和四次显著的方差漂移突变;A股收益在每一阶段都不存在显著的长期记忆,B股收益在某些阶段却存在显著的长期记忆.对随机抽取的10只个股的考察,发现只有1只股票的收益序列存在显著的长期记忆,B股收益的长期记忆效应相对比A股显著.

Long-Term Memory in Stock Returns of Shanghai Stock Exchange: Evidence from V/S Statistic

For the first time,the rescaled variance test is applied to investigate the long-term memory effect in China's stock returns.We examine the full sample daily stock market returns of Shanghai A and B shares.Based on the detection of changes of variance using the iterated cumulative sum of squares algorithm,we study the long-term memory effect of stock market returns in different sub-periods. Some randomly selected stocks are also considered.Results obtained include: there exists little evidence of long-term memory in the full sample stock market returns of Shanghai A and B shares,with regard to A shares,the B shares shows relatively more significant long-term memory;there are 2 and 4 notable variance changes in A and B shares respectively,and for each sub-period of A shares,there does not exist notable long-term memory,however,there does exist considerable long-term memory in some sub-periods of B shares.Study of the randomly selected stocks concludes that among the 10 selected stocks,only 1 stock's return series displays significant long-term memory,and with regard to A shares,the B shares shows relatively more significant long-term memory.