Long-term memory of the returns in the Chinese
stock indices
Long-term memory of the returns in the Chinese
stock indices
WAN Wei1 , ZHANG Jian-Wei2
1.School of Physics, Peking University; 2.School of Physics, Peking University;Econophysics Laboratory, Normal College, Shihezi University;Institut fur Theoretische Physik, Freie Berlin Universitat;
Abstract :The modified R/S statistic (MRS) and the local Whittle method (LWM) are used to analyze the long-range dependence on various indices of the Chinese stock markets. The MRS accepts the null hypothesis of no long-range dependence while the LWM rejects it. We also find that the long-range dependence phenomena presented in these markets depend on the time in which they are measured.
出版日期: 2008-12-05
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