| 中国股市收益率与波动性长记忆性的实证研究 |
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| 引用本文： | 李亚静,何跃,朱宏泉.中国股市收益率与波动性长记忆性的实证研究[J].系统工程理论与实践,2003,23(1):9-15. |
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| 作者姓名： | 李亚静 何跃 朱宏泉 |
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| 作者单位： | (1)西南交通大学经济管理学院;(2)西南民族学院计算机科学与工程系;(3)四川大学管理科学与工程系;(4)中国科学院数学与系统科学研究院系统科学研究所 |
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| 基金项目： | 国家自然科学基金 (7993 0 90 0 ) |
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| 摘 要： | 根据 Granger关于序列长记忆性的定义 ,从股市收益率与波动性两个方面分析与研究了香港、上海和深圳股市的长记忆性 .结果表明 :中国股市收益率与波动性具有长记忆性 ,尽管收益率的长记忆性不如美国股市强 ;上海股市的记忆性明显强于深圳股市 ;分数可积模型较指数衰减自相关函数能更好地拟合样本的自相关系数
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| 关 键 词： | 收益率 波动性 自相关系数 长记忆性 |
| 文章编号： | 1000-6788(2003)01-0009-07 |
| 修稿时间： | 2001年6月29日 |
The Empirical Analysis of the Long Memory Properties of Stock Market Returns and Volatilities in China |
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| LI Ya\|jing\\{,\},HE Yue\,ZHU Hong\|quan\.The Empirical Analysis of the Long Memory Properties of Stock Market Returns and Volatilities in China[J].Systems Engineering —Theory & Practice,2003,23(1):9-15. |
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| Authors: | LI Ya\|jing\\{ \} HE Yue\ ZHU Hong\|quan\ |
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| Institution: | (1)College of Economics and Management, Southwest Jiaotong University;(2) Department of Computer Science and Engineering,Southwest National College;(3)Department of Management Science and Engineering,Sichuan University;(4) Institute of Systems Science; Academy of Mathematics and Systems Sciences, Chinese Academy of Sciences |
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| Abstract: | By Granger's concept of long memory on series this paper analyzes the long memory properties of stock market absolute returns and volatilities in China. The results show that the stock market returns and volatilities in China have long memory and persistence although they are not as strong as that of American stock market; The memory of Shanghai stock is stronger than that of Shenzhen stock; The autocorrelation function of a fractional integration model can fit the sample autocorrelation much well. |
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| Keywords: | return volatility autocorrelation long memory |
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