| 中国股市长记忆检验的滑动分块自助法仿真 |
| |
| 引用本文： | 苏梽芳,胡日东,陈家干.中国股市长记忆检验的滑动分块自助法仿真[J].华侨大学学报(自然科学版),2009,30(3). |
| |
| 作者姓名： | 苏梽芳 胡日东 陈家干 |
| |
| 作者单位： | 华侨大学商学院,福建泉州,362021 |
| |
| 基金项目： | 国家软科学研究计划项目，国家社会科学基金 |
| |
| 摘 要： | 提出基于滑动分块自助的GPH(Geweke,Porter-Hudak)检验方法,并检验沪、深股市的各种收益率序列的长记忆性.结果表明,沪、深两市的日指数收益率序列是一个I(0)过程而非长记忆过程.然而,沪、深两市的绝对值收益率和收益率平方序列却是一个分数差分过程,沪市的绝对值收益率和收益率平方序列的分数差分值大约为0.30,深市的绝对值收益率和收益率平方序列分数差分值大约为0.35.即深市的长记忆性强于沪市,同时也说明上海股市的运行效率要高于深圳股市.
|
| 关 键 词： | 长记忆 分整自回归移动平均模型 滑动分块自助法 GPH检验法 中国股市 |
The Test of Long Memory of China's Stock Market Based on Moving-Block Bootstrap Simulation |
| |
| SU Zhi-fang,HU Ri-dong,CHEN Jia-gan.The Test of Long Memory of China's Stock Market Based on Moving-Block Bootstrap Simulation[J].Journal of Huaqiao University(Natural Science),2009,30(3). |
| |
| Authors: | SU Zhi-fang HU Ri-dong CHEN Jia-gan |
| |
| Institution: | College of Commerce;Huaqiao University;Quanzhou 362021;China |
| |
| Abstract: | This paper proposes a test of GPH(Geweke,Porter-Hudak)based on the moving-block bootstrap approach and tests the long-term memory of daily return rate sequence both in Shanghai stock market and Shenzhen stock market,which shows that daily return rate sequence is an I(0) process and not a long-term memory.However,the absolute return rate and squared return rate sequence are fractional differencing process.The fractional differencing parameter of absolute return rate and squared return rate sequence in Shangh... |
| |
| Keywords: | long-term memory auto-regressive fractiona lintegrated moving average moving-block bootstrap approach GPH test China stock market |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
