Which Can Better Describe Chinese Stock Market between Shanghai Composite Index and Constituent Stock Index

摘要：

To study which can better describe Chinese stock market between Shanghai Composite Index and Constituent Stock Index, the paper selected the daily closing price of Shanghai Composite Index, Hushen 300and SSE 180, and compared the long-term memory of the return series through V/S analysis, and the results showed that:(l) these three indexes have long-term memory;(2)comparing with Shanghai Composite Index, constituent stock index can better describe Chinese stock market. Therefore, in order to avoid the wrong market guide caused by the distortion of Shanghai Composite Index,-China should gradually promote the use of constituent stock index, such as Hushen 300 and SSE 180.

关键词： Shanghai Composite Index Hushen 300 Chinese stock market SSE 180

作者: HUANG Feixue WANG Zhihua

作者单位: Faculty of Management and Economics, Dalian University of Technology, Dalian, China, 116024

会议类型: 国际会议

会议名称: The 3rd (2011) International Conference on Financial Risk and Corporate Finance Management(第三届(2011)金融风险与公司金融国际研讨会FRCFM 2011)

会议地点: 大连

会议语种:英文

页码: 822-826

在线出版日期: 2011-06-30（万方平台首次上网日期，不代表论文的发表时间）