沪深股市的DFA实证分析  

Empirical Study of both Shanghai and Shenzhen Stock Markets with DFA

作　　者：胡雪明[1] 宋学锋[1] 王新宇[1] 

机构地区：[1]中国矿业大学管理学院,江苏徐州221008

出　　处：《中国矿业大学学报》2003年第5期583-586,共4页Journal of China University of Mining & Technology

基　　金：国家自然科学基金(79970115)

摘　　要：运用消除趋势波动分析方法,计算了上海、深圳股票市场收益率的标度指数,结果表明:在不同的标度区域,上证练指标度指数的变化幅度明显大于深成指标度指数的变化幅度,沪深股指在中短期显示为状态持续性,长期表现出状态反持续性.In this paper, the scaling exponents of the stock returns in both Shanghai and Shenzhen stock markets were calculated using the method of detrended fluctuation analysis (DFA). according to the empirical analysis, the variety scope of the scaling exponent of the Shanghai stock exchange composite index is obviously larger than the Shenzhen stock exchange component sub-index in different scaling range. Meanwhile, there is the persistence over short and middle range, and the anti-persistence over long-term in both Shanghai and Shenzhen stock markets.

关 键 词：DFA 实证分析 股票市场 上海 深圳 标度指数 市场收益率 

分 类 号：F832.5[经济管理—金融学]