上证综指收益率的长记忆研究

Study on Long Memory of Shanghai Composite Index Return

运用一种新的非参数统计方法即重标方差V/S分析方法考察上证股市收益的长期记忆效应,该方法比R/S分析与修正的R/S分析更稳健。研究表明:上证股市总体样本日、周收益率的Hurst指数均小于0.5,即不存在显著的长记忆效应,呈现反持续性。

Applying a new nonparametric statistical method, namely rescaled variance V/S analysis method, this papen made an inves- tigation on the long memory effects of Shanghai composite index return. This method is more stable than R/S analysis and corrected R/ S analysis. The research showed that all Hurst Exponent of daily and weekly return of Shanghai stock samples were smaller than 0.5, whieh meant there were no obvious long memory effects, but anti-persistence were presented.