深成指数的R/S分析

R/S Analysis for Shenzhen Component Index

应用R/S分析法(rescaledrangeanalysis),即重标极差分析法,分别对深成指数日收盘价的对数日收益率和对数日收益率AR(1)残差进行分析,得到两个不同的Hurst指数和两个相同的非周期循环。取由对数日收益率AR(1)残差进行分析得到的Hurst指数为深成指数Hurst指数的估计值,因其Hurst指数大于0.5,深成指数的日收益率不遵循相互独立的随机游走假设,而是一个具有持久性的时间序列,并有大约120个交易日非周期循环。

This paper analyzes the logarithmic day-earning ratio of Shenzhen Component Index (SCI) calculated out of day closing prices and its AR(1) by employing R/S analytic approach, and gets two different Hurst indexes and two identical aperiodic circulation. As the Hurst index resulted from analyzing the AR(1) of the logarithmic day-earning ratio, taken as the approximation of the Hurst index of SCI in the study, is greater than 0.5,it may well be concluded that the day-earning ratio of SCI is a time series with persistence rather than follow inter-independent random walk hypothesis, and has aperiodic circulation for about 120 trade days.