正反馈交易、非对称波动与长期记忆性——来自美、英、德、日四国证券市场的经验证据

Positive feedback trading,Asymmetric volatility and long-term memory-empirical evidence from the United States,Britain,Germany and Janpan's securities market

证券市场长期记忆问题是近年来学术界研究的一个热点问题。现阶段多数文献集中在对收益长期相关性的检验上,较少有研究对正反馈交易机制与波动率非对称进行研究。本文基于美英德日四国股指期货市场的交易数据,对股指期货市场正反馈交易的长期记忆性进行了实证检验。结果表明:股指期货市场具有显著的非线性特征,在证券价格长期滞后的情况下,正反馈交易机制表现出显著的长期记忆效应。这一结论将为研究股票价格行为特征与金融经济学理论提供新的方向。

The notion of long memory, or long - term dependence, has received considerable attention in empirical finance. While many empirical works were done on the detection of long memory in return series, very few investigations focused on the market volatility and feedback mechanism. Based on the transaction data of four index futures markets, this paper makes empirical analysis on long memory in the feedback mechanism. The results show that although the returns themselves contain little serial correlation, the feedback trading pattern exhibits significant long memory in the sense that is depends on longer lags of past prices. Application of long memory provides a new approach for assessing the behavior of stock prices and the research on financial market theory.