Long-term memory of the returns in the Chinese
stock indices

doi:10.1007/s11467-008-0038-7

Front. Phys.

2008, Vol. 3

Issue (4) : 489-494 https://doi.org/10.1007/s11467-008-0038-7

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;

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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.

Issue Date: 05 December 2008

Cite this article:

WAN Wei,ZHANG Jian-Wei. Long-term memory of the returns in the Chinese stock indices[J]. Front. Phys. , 2008, 3(4): 489-494.

URL:

https://academic.hep.com.cn/fop/EN/10.1007/s11467-008-0038-7
https://academic.hep.com.cn/fop/EN/Y2008/V3/I4/489

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