摘要
基于重标极差(简称R/S)分析方法,文章分别研究了上证指数和日交易量序列在我国实行股市涨跌幅限制政策前后的两段时间中的分形特征。通过计算Hurst指数,验证了上证指数的长记忆性的存在性,以及日交易量在股市涨跌幅限制政策实施之前的反持续性的存在性。结合V统计,文章分别给出了上证指数在此政策实施前后的平均循环长度,显示出我国股市长记忆性的减弱趋势。
In this paper, based on R/S analysis method, fractals of Shanghai Stock Market Comprising Index series and daily trading volume series during two time segments parted by the nile of restrict on increasing and decreasing range of stock price from 1992 to 2005 are investigated separately. We present the long-term memory of the Shanghai Stock Market Comprising Index series during the two segments and the anti-persistence of daily trading volume series in Shanghai stock market during the first segment by computing Hurst exponent. Mean circle lengths of them are also discussed using V-statistic.
出处
《华东经济管理》
2006年第7期136-140,共5页
East China Economic Management
