国内外黄金市场收益长记忆性比较研究——基于重标方差分析法  

Long-term Memory in Gold Returns:An Evidence from V/S Statistics

作　　者：温博慧[1] 

机构地区：[1]天津财经大学金融系,天津300222

出　　处：《南京审计学院学报》2010年第2期48-52,共5页journal of nanjing audit university

摘　　要：利用重标方差分析法,对比研究英国伦敦和中国上海黄金市场收益的长记忆性的结果表明:对于不同的q值,国内外黄金市场日收益率都存在显著的长记忆性。相比较而言,英国伦敦黄金市场日收益率的长记忆性更强。产生这一现象的深层原因在于我国黄金价格形成机制受到了较多的政府调控,而并不能简单地说我国黄金市场的效率高于英国伦敦黄金市场。This paper employs a more robust rescaled variance test to investigate the long-term memory effect in Shanghai and London gold market. Results show that： as for different values of q, the two markets exist strong evidence of long-term memory in daily gold market returns and the long-term memory in the daily retum in London gold market is much stronger. The results can not be explained by the market efficiency, instead, they are closely related to the mechanism of the gold price in China which is under the government control.

关 键 词：黄金市场 长记忆性 重标方差分析法 伦敦黄金市场 上海黄金市场 

分 类 号：F830.94[经济管理—金融学]