股市收益率与交易量长记忆性实证研究

发布时间：2018-04-29 15:44

本文选题：长记忆性 + 收益率　；参考：《东北大学学报(自然科学版)》2012年07期

【摘要】：从计量经济学及统计学的角度,运用重标极差分析、修正重标极差分析、KPSS检验及Granger因果检验等方法,对我国沪深股市收益率与交易量的长记忆性特征进行了实证分析,并进一步研究了股市收益率与交易量之间的相互关系.重标极差分析及修正重标极差分析的实证研究结果表明,收益率及交易量序列的Hurst指数均大于0.5,且成交量序列的Hurst指数明显高于收益率序列;此外收益率及交易量的KPSS统计结果对于所有滞后阶数均显著.上述结果说明中国股市收益率和成交量均具有长记忆性特征,且成交量的长记忆性强于收益率的长记忆性;Granger因果检验结果表明收益率和成交量之间存在着相互引导关系.
[Abstract]:From the perspective of econometrics and statistics, this paper makes an empirical analysis of the long-memory characteristics of the returns and trading volume of Shanghai and Shenzhen stock markets by using the methods of the re-calibrated range analysis, the modified rescaling range analysis and the Granger causality test. And further study the relationship between stock market return and trading volume. The results show that the Hurst index of the return and trading volume series is greater than 0.5, and the Hurst index of the volume series is obviously higher than that of the yield series. In addition, the KPSS statistical results of return and trading volume are significant for all lag orders. The results of Granger causality test show that there is a mutual leading relationship between the yield and the trading volume, and the long memory of the turnover is stronger than the long memory of the yield in the stock market of China, and the Granger causality test shows that there is a mutual leading relationship between the return and the turnover.
【作者单位】：东北大学工商管理学院;宁波银行股份有限公司;
【基金】：国家自然科学基金资助项目(70901017,71001022,71171042) 中央高校基本科研业务费专项资金资助项目(N100406003) 中国博士后科学基金资助项目(200902546)
【分类号】：F224;F832.51

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