摘要
采用资产定价模型(Capital Asset Pricing Model,CAPM)将国内A股市场11个行业板块指数的收益率分解为市场超额收益率和行业本身超额收益率,使用重标极差法(Rescaled Range Analysis,R/S)和局部Whittle(Local Whittle,LW)方法,分别检验行业本身超额收益率和市场超额收益率及其波动率的长记忆性。实证结果显示,行业本身超额收益率的长记忆性要弱于市场超额收益率的长记忆性,同时行业本身超额收益率波动性的长记忆性更加受到行业本身的影响。
This paper applies the CAPM model to decompose the return rates of 11 industry sectors in stock market of China into the excess returns from the market and those from the industry itself , and then uses R/S and LW analysis methods to investi-gate their long memories.The results show that the long memory of the excess returns from the industry itself is weaker than the long memory of the excess returns from the market, and the long memory of the volatilities of the excess returns from the industry itself is more dependent on each industry.
出处
《安庆师范学院学报（自然科学版）》
2016年第3期31-34,共4页
Journal of Anqing Teachers College(Natural Science Edition)
基金
国家社会科学基金项目(14BTJ031)
浙江省自然科学基金项目(Y14A010064)
教育部人文社会科学重点研究基地重大项目(13JJD910002)
浙江省统计研究重大课题"离散因变量空间计量模型的统计推断"
