行业股票日收益率的长记忆性研究  

Long Memory in Daily Return Series of Industry-listed in China

作　　者：张增敏[1] 李莉莉[1] 

机构地区：[1]青岛大学经济学院,山东青岛262700

出　　处：《青岛大学学报（自然科学版）》2012年第1期79-82,共4页Journal of Qingdao University(Natural Science Edition)

摘　　要：运用修正R/S分析和V/S检验两种分析方法,对我国股票市场13个行业日收益率序列的长期记忆性进行了比较研究,得出了以下结论:在5%的显著水平下,农林牧渔业的日收益率在两种方法下均不具有长记忆性;传播与文化产业的日收益率在修正R/S分析中不具有长记忆性,而交通运输仓储业的日收益率在V/S分析下不具有长记忆性;除上述提到的行业外,其余行业的日收益率在两种分析结果下,均具有明显的长记忆性。The long memory in daily return series of 13 industries was studied with modified R/S and V/S analysis methods. Under 5% significant level, the following results are obtained. Empirical analyses show that there is not long memory in the industry of agriculture, forestry, animal husbandry and fishery. Under the results of modified R/S analysis methods, there is not long memory in the industry of transmission and culture. Under the results of V/S analysis methods, there is not long memory in the industry of trans- port and storage. There is strong long memory in other industries.

关 键 词：长记忆性 修正R/S分析 V/S检验 

分 类 号：F830[经济管理—金融学]