上证股市收益的长期记忆:基于V/S的经验分析  

Long-Term Memory in Stock Returns of Shanghai Stock Exchange:Evidence from V/S Statistic

作　　者：何兴强[1] 李仲飞[1] 

机构地区：[1]中山大学岭南学院,广州510275

出　　处：《系统工程理论与实践》2006年第12期47-54,共8页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(70471018;70518001);高等学校全国优秀博士学位论文作者专项资金(200267200504)

摘　　要：运用V/S分析考察我国股市收益的长期记忆效应,分别诊断上证A、B股市日收益总体样本的长期记忆效应,在运用ICSS方法探测方差漂移突变划分股票市场阶段性的基础上诊断股市收益不同阶段的长期记忆效应,并考察随机抽取的部分个股.研究表明:上证A、B股市收益总体样本都不存在显著的长期记忆,B股市场的长期记忆效应相对更显著;A、B股市场收益分别发生了两次和四次显著的方差漂移突变;A股收益在每一阶段都不存在显著的长期记忆,B股收益在某些阶段却存在显著的长期记忆.对随机抽取的10只个股的考察,发现只有1只股票的收益序列存在显著的长期记忆,B股收益的长期记忆效应相对比A股显著.For the first time, the rescaled variance test is applied to investigate the long-term memory effect in China＇s stock returns. We examine the full sample daily stock market returns of Shanghai A and B shares. Based on the detection of changes of variance using the iterated cumulative sum of squares algorithm, we study the long-term memory effect of stock market returns in different sub-periods. Some randomly selected stocks are also considered. Results obtained include： there exists little evidence of long-term memory in the full sample stock market returns of Shanghai A and B shares, with regard to A shares, the B shares shows relatively more significant long-term memory; there are 2 and 4 notable variance changes in A and B shares respectively, and for each sub-period of A shares, there does not exist notable long-term memory, however, there does exist considerable long-term memory in some subperiods of B shares. Study of the randomly selected stocks concludes that among the 10 selected stocks, only 1 stock＇ s return series displays significant long-term memory, and with regard to A shares, the B shares shows relatively more significant long-term memory/

关 键 词：股票市场 长期记忆 重标方差(V/S) 迭代累计平方和(ICSS) 

分 类 号：F830.91[经济管理—金融学]