中国股市收益率与波动性长记忆性的实证研究

李亚静;何跃;朱宏泉

系统工程理论与实践 ›› 2003, Vol. 23 ›› Issue (1) : 9-15.

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系统工程理论与实践 ›› 2003, Vol. 23 ›› Issue (1) : 9-15. DOI: 10.12011/1000-6788(2003)1-9
论文

中国股市收益率与波动性长记忆性的实证研究

    李亚静(1)(2),何跃(3), 朱宏泉(4)
作者信息 +

The Empirical Analysis of the Long Memory Properties of Stock Market Returns and Volatilities in China

    Ya Jing LI(1)(2),Yue HE(3),Hong Quan ZHU(4)
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文章历史 +

摘要

根据 Granger关于序列长记忆性的定义 ,从股市收益率与波动性两个方面分析与研究了香港、上海和深圳股市的长记忆性 .结果表明 :中国股市收益率与波动性具有长记忆性 ,尽管收益率的长记忆性不如美国股市强 ;上海股市的记忆性明显强于深圳股市 ;分数可积模型较指数衰减自相关函数能更好地拟合样本的自相关系数

Abstract

By Granger's concept of long memory on series this paper analyzes the long memory properties of stock market absolute returns and volatilities in China. The results show that the stock market returns and volatilities in China have long memory and persistence although they are not as strong as that of American stock market; The memory of Shanghai stock is stronger than that of Shenzhen stock; The autocorrelation function of a fractional integration model can fit the sample autocorrelation much well.

关键词

收益率 / 波动性 / 自相关系数 / 长记忆性

Key words

return / volatility / autocorrelation / long memory

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李亚静 , 何跃 , 朱宏泉. 中国股市收益率与波动性长记忆性的实证研究. 系统工程理论与实践, 2003, 23(1): 9-15 https://doi.org/10.12011/1000-6788(2003)1-9
Ya Jing LI , Yue HE , Hong Quan ZHU. The Empirical Analysis of the Long Memory Properties of Stock Market Returns and Volatilities in China. Systems Engineering - Theory & Practice, 2003, 23(1): 9-15 https://doi.org/10.12011/1000-6788(2003)1-9
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