国际股票市场收益的长记忆性比较研究  

Research on the Long Memory in International Stock Returns

作　　者：余俊[1] 方爱丽[2] 熊文海[1] 

机构地区：[1]青岛大学自动化工程学院,山东青岛266071 [2]鲁东大学数学与信息学院,山东烟台264025

出　　处：《中国管理科学》2008年第4期24-29,共6页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(70571041);教育部博士点专项基金项目(20051065002)

摘　　要：股票市场收益的长记忆性研究对于有效市场假说的检验有着特别重要的意义。常用的长记忆性研究方法有经典R/S分析、修正R/S分析和对数周期图法等,Giraitis于2003年提出了一种新的更为稳健的V/S分析方法。本文运用修正R/S分析和V/S分析两种方法对世界上31个国家或地区的股票指数进行长记忆性比较研究。结果表明,以美国为代表的大多数发达国家股市一般不存在长记忆性,而如中国等发展中国家大多存在显著的长记忆性,尤其中国股市的长记忆性最强。但是也有例外,如德国等一些欧洲国家股市也有长记忆性,巴西等南美洲国家无长记忆性。同时,V/S分析比修正R/S分析更稳健有效。It is of. great significance for the study of long memory in stock market returns to test the efficient market hypothesis. The methods in common use to study long memory are classical R/S analysis, modified R/S analysis and log-periodogram. In 2003, Giraitis proposed a new more robust V/S analysis method. In this paper, long memory of stock indices of the 31 countries or regions in the world is studied with the modified R/S and V/S analysis methods. The results show that long memory doesn＇t exist in most developed countries such as America and it exists in developing countries such as China. In particular, long memory in China stock market is the strongest. But there are exceptions, some European countries such as Germany show long memory while some South American countries such as Brazil do not show long memory. Furthermore, the V/S analysis is more robust and efficient than the modified R/S analysis.

关 键 词：长记忆性 修正R/S分析 v/s分析 有效市场假说 

分 类 号：F830.91[经济管理—金融学]