中国股票市场波动持久性特征的DFA分析

中国管理科学 ›› 2004, Vol. ›› Issue (4): 12-19.

中国股票市场波动持久性特征的DFA分析

魏宇, 黄登仕

西南交通大学经济管理学院, 成都, 610031

收稿日期:2003-06-06 修回日期:2004-02-22 出版日期:2004-08-28 发布日期:2012-03-07
基金资助:
国家自然科学基金资助项目(70171054);国家杰出青年科学基金资助项目(70229001)

A DFA Study on the Persistence of Fluctuations in China Stock Market

WEI Yu, HUANG Deng-shi

School of Economics & Management, Southwest Jiaotong University, Chengdu 610031, China

Received:2003-06-06 Revised:2004-02-22 Online:2004-08-28 Published:2012-03-07

摘要/Abstract

摘要： 通过对沪、深股市大盘指数以及各具代表性的两只个股高频价格波动的R/S和DFA对比研究,得出了有别于传统分析方法的我国股市波动持久性定量特征,并通过高价DFA分析以及在连续时间标度上的收益率峰度指标的计算,发现了我国股市波动持久性存在的特征时间标度,为研究我国证券市场的非线性和复杂性提供了新的研究视角和实证结论。

关键词: 股票市场, DFA分析, R/S分析, 持久性, 特征时间标度, 复杂性

Abstract: The persistence of fluctuations in Chinese stock market is studied by DFA and R/S techniques.A new persistence pattern and the characteristic time scales of the existence of persistence are also found.Such new tools and empirical results are useful to study the nonlinearity and complexity of Chinese stock market.

Key words: stock market, DFA, R/S, persistence, characteristic time scale, complexity

中图分类号:

F830.9

魏宇, 黄登仕. 中国股票市场波动持久性特征的DFA分析[J]. 中国管理科学, 2004, (4): 12-19.

WEI Yu, HUANG Deng-shi. A DFA Study on the Persistence of Fluctuations in China Stock Market[J]. Chinese Journal of Management Science, 2004, (4): 12-19.

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