【摘要】 股票市场收益的长记忆性研究对于有效市场假说的检验有着特别重要的意义。常用的长记忆性研究方法有经典R/S分析、修正R/S分析和对数周期图法等,Giraitis于2003年提出了一种新的更为稳健的V/S分析方法。本文运用修正R/S分析和V/S分析两种方法对世界上31个国家或地区的股票指数进行长记忆性比较研究。结果表明,以美国为代表的大多数发达国家股市一般不存在长记忆性,而如中国等发展中国家大多存在显著的长记忆性,尤其中国股市的长记忆性最强。但是也有例外,如德国等一些欧洲国家股市也有长记忆性,巴西等南美洲国家无长记忆性。同时,V/S分析比修正R/S分析更稳健有效。更多还原

【Abstract】 It is of great significance for the study of long memory in stock market returns to test the efficient market hypothesis.The methods in common use to study long memory are classical R/S analysis,modified R/S analysis and log-periodogram.In 2003,Giraitis proposed a new more robust V/S analysis method.In this paper,long memory of stock indices of the 31 countries or regions in the world is studied with the modified R/S and V/S analysis methods.The results show that long memory doesn’t exist in most developed countries such as America and it exists in developing countries such as China.In particular,long memory in China stock market is the strongest.But there are exceptions,some European countries such as Germany show long memory while some South American countries such as Brazil do not show long memory.Furthermore,the V/S analysis is more robust and efficient than the modified R/S analysis.更多还原