股市收益率与波动性长期记忆效应的实证研究
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财经研究 2005 年 第 31 卷第 08 期, 页码：31 - 39
摘要
参考文献
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。
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引用本文
李红权, 马超群. 股市收益率与波动性长期记忆效应的实证研究[J]. 财经研究, 2005, 31(8): 31–39.
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