Testing for the Long-range Dependence in Chinese Stock Markets

摘要：

This paper investigates the long-range dependence of the stock returns in Chinese stock markets. The empirical study shows that the weekly returns in Shanghai and Shenzhen stock markets exhibit significant non-normality, with heavy leptokurtosis, fat tail and right skewness. However, by using the modified R/S analysis of Lo (1991), no evidence of the long-range dependence is found for the return series in both Shanghai and Shenzhen stock markets. Compared with the classical R/S analysis, the result of the modified R/S analysis is more robust.

关键词： Stock Returns Long-range Dependence Modified R/S Analysis

作者: CHEN Menggen

作者单位: Department of Statistics, Tianjin University of Finance and Economics, Tianjin, P.R.China,

会议类型: 国际会议

会议名称: 2008年国际应用统计学术研讨会(2008 International Institute of Applied Statistics Studies)

会议地点: 烟台

会议语种:英文

页码: 1-9

在线出版日期: 2008-08-14（万方平台首次上网日期，不代表论文的发表时间）