|
Employing the closing price indices dated from Mar. 1, 1993 to Sep. 24, 2004 in Shanghai A and B shares, and from Jan. 1, 1996 to Sep. 24, 2004 in Shenzhen A and B shares, the modified R/S analysis and GPH test are applied to detect the existence of long-term memory in daily and weekly market returns. Results obtained show that there exists little evidence of long-term memory in daily and weekly stock market returns, the long-term memory in returns of Shanghai B shares is more significant than... Employing the closing price indices dated from Mar. 1, 1993 to Sep. 24, 2004 in Shanghai A and B shares, and from Jan. 1, 1996 to Sep. 24, 2004 in Shenzhen A and B shares, the modified R/S analysis and GPH test are applied to detect the existence of long-term memory in daily and weekly market returns. Results obtained show that there exists little evidence of long-term memory in daily and weekly stock market returns, the long-term memory in returns of Shanghai B shares is more significant than that of Shanghai A shares, and the long-term memory in returns of Shenzhen A shares more significant than that of Shenzhen B shares respectively. 该文以 1993年 3月 1日至 2 0 0 4年 9月 2 4日的上证A、B股、1996年 1月 1日至 2 0 0 4年 9月 2 4日的深证A、B股市场价格收盘指数为对象 ,利用修正R S分析和GPH检验 ,诊断股市日收益和周收益序列的长期记忆特性。研究表明 :在沪深A、B股市场上 ,日收益和周收益序列都不存在显著的长期记忆 ;相对而言 ,上证B股比A股市场收益的长期记忆更显著 ,深证A股比B股市场收益的长期记忆更显著。
|