行业股票日收益率的长记忆性研究

运用修正R/S分析和V/S检验两种分析方法,对我国股票市场13个行业日收益率序列的长期记忆性进行了比较研究,得出了以下结论：在5%的显著水平下,农林牧渔业的日收益率在两种方法下均不具有长记忆性;传播与文化产业的日收益率在修正R/S分析中不具有长记忆性,而交通运输仓储业的日收益率在V/S分析下不具有长记忆性;除上述提到的行业外,其余行业的日收益率在两种分析结果下,均具有明显的长记忆性。

Long Memory in Daily Return Series of Industry-listed in China

The long memory in daily return series of 13 industries was studied with modified R/S and V/S analysis methods.Under 5% significant level,the following results are obtained.Empirical analyses show that there is not long memory in the industry of agriculture,forestry,animal husbandry and fishery.Under the results of modified R/S analysis methods,there is not long memory in the industry of transmission and culture.Under the results of V/S analysis methods,there is not long memory in the industry of transport and storage.There is strong long memory in other industries.