中国股票市场收益的长期记忆性研究

Research on the Long Memory in Chinese Stock Market Returns

首先应用 R/ S分析法研究中国股票市场的长期记忆性 ,实证结果表明中国股市作为一个新兴的资本市场 ,表现了与国外发达股市不太一样的特征 ,即中国股市具有较明显的长期记忆性 ;又用既能描述短记忆又能表现长记忆的 ARFIMA模型对中国股票市场进行建模研究 ,并证明该模型与其他模型相比较所体现的优越性。

In this paper, we test the long memory property in Chinese stock market, an emerging capital market by using classical R/S analysis, contrary to findings for other major capital markets, the empirical results show that there is strong evidence of long memory in Chinese stock returns; An ARFIMA model is put forward to capture both of the short memory and long memory, and our experiments illustrate it is better than other models.