摘要
研究了上证30指数和深圳成分指数所含个股的成交量与收益波动性的长程相关关系.文章应用多变量频域两步半参数估计方法,辅助数据加窗技术对非平稳时间序列的长期记忆性进行了一致有效的估计.研究结果发现中国股票市场的成交量和波动性均具有显著的长期记忆性,并且对于大多数股票而言,成交量序列与波动性序列具有相同的长期记忆性.表明同时驱动成交量和收益波动性的潜在信息流本身具有长期记忆特征.
This article examines the behavior of equity volume and volatility for the individual firms composing the Shanghai 30 index and Shenzhen composite index in long run. Using multivariate frequency domain two- step semiparametric procedures, by tapering the data instead of detrending them, the long memory parameters of nonstationary vector process have been consistent estimated. We find that there is strong long memory in both series, besides, for most of the stocks, the volatility and volume exhibit the same degree of long memory. Which indicate the latent information-arrival structure which determined the volume-volatility relationship also possess long memory characteristics.
出处
《管理科学学报》
CSSCI
北大核心
2005年第2期38-45,共8页
Journal of Management Sciences in China
基金
国家杰出青年基金资助项目(70225002)
教育部高等学校优秀青年教师教学科研奖励计划基金资助项目
教育部跨世纪优秀人才培养计划基金资助项目.
关键词
长期记忆性
非平稳随机过程
谱分析
加窗周期图
long memory
nonstationary stochastic process
spectral analysis
tapering periodogram
