股市收益和波动性长期记忆的国际比较——基于V/S的经验证据

Long-term Memory in Stock Returns and Volatility: A Multi-national Evidence from V/S Statistic

现有研究运用经典和修正R/S分析探讨我国股票市场的长期记忆效应。本文运用更为稳健的V/S分析,对比研究上证股市和另外7个国家和地区的股票市场,分别诊断各股市日收益和周收益、及三种典型度量的收益波动的长期记忆效应。研究表明:股市日收益和周收益序列都不存在显著的长期记忆;三种典型度量的收益波动普遍存在显著的长期记忆;日收益波动比周收益波动的长期记忆更显著。

The existing works employed the classical and modified R/S analysis to examine the long-term memory effect of China＇s stock market. This paper utilizes a more robust rescaled variance test to investigate the long-term memory effect in China＇s Shanghai Stock Exchange and seven other stock markets. It detects the long-term memory effect in daily, weekly stock market returns, and volatilities of three typical measures. Results obtained include： there exists little evidence of long-term memory in daily and weekly stock market returns; among the return series of the 8 markets studied in the paper, the U.S displays the most significant long-term memory relatively, which implies the weakest market efficiency, and Japan the least, which implies the strongest market efficiency; in general, long-term memory does exist notably in the volatilities of three measures; with regard to the volatility of weekly returns, the long-term memory in the volatility of daily returns is stronger.