中国股市收益率和波动率的长记忆性检验  

Test of Long Memory about Returns and Its Volatility in Chinese Stock Market

作　　者：杨桂元[1] 赵宏宝[1] 

机构地区：[1]安徽财经大学数量经济研究所,安徽蚌埠233030

出　　处：《统计与信息论坛》2009年第6期39-43,共5页Journal of Statistics and Information

基　　金：教育部人文社会科学研究项目<基于风险约束的委托组合投资管理PBF合同研究>(08JA630003)

摘　　要：运用修正R/S和V/S两种分析方法,选取两大盘指数(上证综指和深证成指)以及20只个股为样本,对其收益率和收益波动率序列的长记忆性进行大范围的比较研究。结果表明:对于收益率序列两大盘指数存在长记忆性,且深市强于沪市,而个股普遍不具有长记忆性;对于收益波动率序列,无论是大盘指数还是个股均存在显著的长记忆性,并且,三个收益波动率序列的长记忆性由强到弱依次为修正对数平方收益率、绝对收益率和平方收益率。This paper studies the Shanghai synthesis index, Shenzhen composition index and twenty individual stocks＇ long memory of returns and volatilities by using modified R/S and V/S analysis methods. The results indicate that there exists long memory in the returns of the market indices and it is stronger in Shenzhen, but there isn＇t long memory for all individual stocks. Moreover, there exists remarkably long memory in the return volatilities of the market indiees and individual stock. In sequence, the strength of the three return volatilities can be arranged as modified log- squared, absolute and squared returns.

关 键 词：长记忆 修正R/S分析 V/S分析 收益波动率 

分 类 号：F830.91[经济管理—金融学]