The Empirical Research of Long-Term Memory of Stock Market Returns of Shanghai

摘要：

Analysis of the effects of long-memory in security market returns has important sense in research of market efficiency and conforming framework of nonlinear system. Based on fractal market hypothesis, some hypothesis, some typical characteristics such as the long- term memory structure and non-periodic cycle of volatility and non-Gaussian distribution of return are discovered by R/S analysis in Shanghai stock markets. It is proved that the fractal market hypothesis can interpret better the nonlinearity inhere in Shanghai stock markets than efficient market hypothesis.

关键词： Fractal market hypothesis R/S analysis Long-term memory Volatility

作者: Zhang Xiaoli

作者单位: Institute of Foreign Economy and Trade, Shanghai Institute of Foreign Trade, Shanghai, 201620, China

会议类型: 国际会议

会议名称: 第六届管理学国际会议(Proceedings of ICM2007 the 6th International on Management)

会议地点: 武汉

会议语种:英文

页码: 735-739

在线出版日期: 2007-08-03（万方平台首次上网日期，不代表论文的发表时间）