基于R／S分析和V／S分析的香港股市长记忆性比较研究

A Comparative Research into the Long Memory of Hong Kong Stock Market Based on R/S and V/S Analyses

对金融时序的长记忆性进行研究在金融市场预测中具有重要的意义。目前一般认为Giraitis等人于2003年提出的V/S分析法更具稳健性、不易受短期记忆性的影响。尽管很多研究表明V/S方法在分析时间序列的记忆性问题上表现更为稳健,然而本文同时运用R/S分析和V/S分析法对香港股市进行研究,发现两种方法对时间序列短期相关性的敏感度却是大体相当的,这与以往的研究结论并不一致。

The study of the long memory of financial time series is of great significance in financial market prediction. At present it is generally accepted that the V/S analysis which is proposed by Giraitis is much more steady than R/S method and not easy to be influenced by the short-term memory. Though many studies indicate that V/S method is more steady in analysing the memory of time series, the authors use R/S analysis and V/S analysis at the same time to research Hongkong Stock Market and find that the sensibility of both R/S and V/S methods to the short-term relativity of time series is equivalent, which is not consistent with previous studies.