R/S Analysis for Chinese Stock Market Efficiency
R/S analysis is an important method to study fractal constitution. In this paper, we improve the method of empirical study and analyze the moving sub-sample windows from 6 to 12 years separately by R/S method. The results show that the mean cycle period of Chinese stock market turned shorter and shorter. And the Hurst exponent is obviously greater than 0.5, but goes to 0.5.The conclusion indicated that Chinese stock market hasnt present week-form efficiency, but the efficiency obviously enhanced.
Market efficiency R/S method Long memory period Hurst exponent
Liu Weiqi ang Yaoqing
School of Management, Shanxi University P.R.China, Taiyuan 030006 School of Mathematical Science, Shanxi University P.R.China, Taiyuan 030006
国际会议
第六届管理学国际会议(Proceedings of ICM2007 the 6th International on Management)
武汉
英文
679-684
2007-08-03（万方平台首次上网日期，不代表论文的发表时间）