我国股票市场收益率的持久性分析  

An Analysis of Persistence of returns in China Stock Market

作　　者：张庆君[1] 

机构地区：[1]渤海大学商学院,辽宁锦州121000

出　　处：《哈尔滨商业大学学报（社会科学版）》2007年第2期73-76,共4页Journal of Harbin University of Commerce:Social Science Edition

摘　　要：随着混沌理论的发展和应用,分形市场理论逐步引起金融领域研究者的重视。R/S方法是研究分行结构特征的有效工具,许多学者应用R/S方法分析股票市场收益率的变化规律,得出了有价值的结论。采用修正R/S方法以及关联维数方法分析上证综合指数的市场有效性,结果显示,上证综合指数没有呈现明显的持久性,不能拒绝有效市场假说。With the development and applying of the chaos theory, FMH is minded by scholar in financial fields. R/S analytical method is a effective means to research market＇s fractal. Many scholars apply R/S analytical method to study the behavior of stock returns, and gain many valuable conclusions. The paper analyzes Shanghai Securities market＇s efficiency with Adjusted R/S Analysis and Hurst index, the result is that Composite Index of Shanghai Stock market does not show persistence and cannot refuses EMH.

关 键 词：有效市场假说(EMH) 分形市场假说(FMH) 修正R/S分析 

分 类 号：F830.9[经济管理—金融学]