Fractional Co-integration Method and Its Application on China’s Stock Market

摘要：

According to the existence of the long-memory characteristic in finance time series, general fractional co-integration model is proposed based on GHP method. Based on day closing price series of Shanghai and Shenzhen stock markets, empirical analysis of spillover effect between Shanghai stock market and Shenzhen stock market is performed using general fractional co-integration model. As the results shown, price indices series of Shanghai and Shenzhen stock markets show the characteristic of long-memory and there is long-run equilibrium relationship between them. It implicates that China’s stock markets is non-efficient market, and spillover effect is exist in China’s stock markets.

关键词： Long-memory Fractional Co-integration Nonlinear Spillover Effect

作者: CAO Guangxi

作者单位: School of Economy and Management, Nanjing University of Information Science & Technology, Jiangsu Nanjing, P.R.China, 210044

会议类型: 国际会议

会议名称: 2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)

会议地点: 青岛

会议语种:英文

页码: 1-5

在线出版日期: 2009-07-25（万方平台首次上网日期，不代表论文的发表时间）