深沪股市收益序列伪长记忆性分析

Analysis of Spurious Long Memory for Shenzhen and Shanghai Stock Return Series

针对股市时间序列长记忆性的研究方法差异导致结论不同的问题,采用逐步分析的方法研究,结果表明:用经典方法分析股市收益时间序列所发现的长记忆性在控制条件异方差后减弱;用马尔可夫转换模型控制短期依赖和结构性变化后,长记忆性基本消失。说明众多学者对股市收益序列研究所得出的长记忆性,主要是由收益时间序列的短期相关和结构变化引起的,因此,对我国深沪股市而言,股市波动性对股市长记忆性具有一定影响,而结构性变化对股市收益变化的影响更为重要。

To solve the contradictive results from diversified methodology problems in long memory analysis on stock time series,we analysis step by step and the results show that the long memory which results from classical model decreases after the heteroscedasticity is controlled,and the evidence of long memory is diminished after controlled the short dependent and structural changes by Markov Switching VAR integrated model.Therefore,the long memory observed by many Chinese scholars in stock return series is mainly caused by changes in the structural of variance and short dependent.To Chinese Shenzhen and Shanghai stock markets,the structural change is more important than the volatility.