【摘要】 运用DFA方法对上海综合指数和深圳成分指数三种形式的收益率进行长程相关性研究。结果表明:三种形式的收益率均存在长程相关性,其中绝对值收益率的相关性程度最强;三种形式的收益率在1996年12月16日以前均存在长程相关性,在1996年12月16日以后,收益率的长程相关性程度有所减弱,而绝对值收益率和平方收益率的长程相关性程度却有所增强;两股指收益率的局部相关性均有较大的波动。更多还原

【Abstract】 This paper researches the long-rang correlation properties of three forms’ returns of Shanghai synthesis index and Shenzhen composition index by use of the method of DFA.The results show there is evidence of long-rang correlations for the three returns and the intensity of correlation of the absolute returns is the most strong.Before Dec 16,1996,the long-rang correlation exists in the three forms’ returns.After Dec16,1996,the intensity of correlation of returns becomes weak but the intensity of correlation of the absolute returns and squared returns becomes strong.The local correlations of both stock index returns all have bigger fluctuation.更多还原