中国证券市场复杂性研究
首发时间:2004-05-21
摘要:金融市场复杂性的研究对于现代金融理论研究具有重要的意义。本文选取上海和深圳A股股票市场算数加权和流通市值加权市场指数为研究对象,运用相空间重构和BDS检验的方法对中国股票市场的非线性特征进行了验证。同时又选取了20只代表性股票的日收益序列 ,采用ARFIMA模型的方法对收益分布的分形特征和长期记忆性进行了实证研究。研究发现,沪市A股市场指数收益序列和个股存在明显的长期记忆效应,收益分布表现持久性,而深市A股市场指数收益序列则表现出显著的反持久性特征
For information in English, please click here
Analysis of the Effects of Complexity in China Security Market
Abstract:Analysis of the effects of Complexity in security market returns has important sence in research of modern finance theory.Adopting rate of day return of A share arithmetic weighting index and A_float_cap weighting index in shanghai and shenzhen and20 stocks,the paper uses phase space reconstruction、 BDS test and ARFIMA model to test the nonlinear character and presence of persistentcy in security market returns. The empirical results display day return series of A share arithmetic index of shanghai and stocks have significant nonlinear character and persistency effects.The empirical research exhibit china security market lacks of efficiency.
Keywords: security market nonlinear;fraction ;persistency efficiency.
基金:
论文图表:
引用
No.7208046108510259****
同行评议
共计0人参与
勘误表
中国证券市场复杂性研究
评论
全部评论0/1000