中国石油与联通A、H和N股的长期记忆性评估

Evaluation of Long-term Memory about A,H and N Stock on China Unicom and China Petroleum

针对上海、香港、纽约的中国联通、中国石油股票市场日收益率以及波动序列是否具有长期记忆性的问题,提出分别运用非参数统计法(R/S,V/S)和半参数估计法(GPH,tapered GPH)进行评估。通过选择2000年6月23日至2009年7月24日的中国联通、中国石油的日收益率及其波动性为研究对象,结果发现:它们在中国上海和香港市场的日收益率序列具有长期记忆性,而在纽约市场的不具有长期记忆性;它们的日收益率波动序列在中国上海、香港、纽约都具有长期记忆性。具有长期记忆特征表明了股票系统非线性结构与市场的非有效性,即中国的股票市场效率是有待于提高的。建议尽快完善A股的做空机制。

This paper examines whether long-term memory exists in daily return time series and Volatility series about China Unicom,China Petroleum in Shanghai,Hong Kong,New York stock market.Non-parametric statistics methods of(classical R/S,modified R/S,V/S) and semi-parametric estimation(standard GPH,tapered GPH)comparatively are adopted to evaluate.The sample is to use close price of daily return time series of China Unicom,China Petroleum in Shanghai,Hong Kong,New York stock market from 23th Jun 2000 to 24th Jul 2009.It detects the long-term memory effect in daily returns and volatilities of three typical measures of China Unicom,China Petroleum in Shanghai,Hong Kong,New York stock market.It gets the following results.Firstly,the long-term memory exists in daily returns of China Unicom,China Petroleum in Shanghai and Hong Kong stock market.Secondly,the long-term memory exists in their volatilities of three typical measures.There is very important meaning for the system to identify non-linear structure,as well as the effectiveness of market research.Having long-term memory means that the event in the beginning will have an impact on the stock in the following time,so the stock market efficiency of China is to be improved in the market with a long-term memory.As soon as possible development short-mechanism for A stock market.