基于价-量交叉相关性视角的中国股市长记忆性实证分析

An empirical analysis of long memory in Chinese stock market based on the perspective of cross correlation of between price and trading volume

从价-量交叉相关性视角,以1991—2017年的上证指数和深成指数为研究对象,应用DFA和DCCA方法,研究中国股市价格和成交量序列的长记忆性以及交叉相关性特征.结果表明,价格和交易量序列具有显著的长记忆性特征和显著的交叉相关性,价格会受到自身的影响,还会受交易量的影响.

Applies DFA and DCCA to study the long memory and cross correlation characteristics of Chinese stock market price and volume series,using Shanghai and Shenzhen stock market indexes between 1991—2017 years.The results shows that the price and trading volume sequence has significant long memory characteristics and significant cross correlation,and price will be influenced by itself,it will also be influenced by transaction volume.