摘要
股票市场长期记忆效应问题是近来金融实证研究的一个热点。多数的研究集中在收益率长期相关性的考察上,较少有对波动率序列的研究。然而,波动率的长期记忆性不仅会导致金融市场上的波动持久性特征,而且将对波动率的预测与衍生证券定价产生重要的影响。基于此,本文通过修正的R/S分析与ARFIMA模型对我国股市收益率及其波动性的长期相关性进行了实证研究。结果表明:中国股市具有显著的非线性特征,虽然收益率序列的自相关性较弱,但波动性序列却表现出显著的长期记忆效应。这一结论将为研究股票价格行为特征与金融经济学理论提供新的方向。
The notion of long memory, or long-term dependence, has received considerable attention in empirical finance. While many empirical works were done on the detection of long memory in return series, very few investigations focused on the market volatility, though the long-term dependence in volatility may lead to some types of volatility persistence as observed in financial markets and affect volatility forecasts and derivative pricing formulas. So, using modified rescaled range analysis and ARFIMAmodel, this paper examines the long-term dependence of return and volatility in Chinese stock market. The results show that although the returns themselves contain little serial correlation, the variability of returns has significant long-term dependence. Application of long memory provides a new approach for assessing the behavior of stock prices and the research on financial market theory.
出处
《财经研究》
CSSCI
北大核心
2005年第8期29-37,共9页
Journal of Finance and Economics
基金
国家自然科学基金(70471030)
国家社会科学基金(030JBY56)
