南方金融
南方金融
남방금융
South China Finance
2011年
8期
61~64
,共null页
资本市场 分形特征 长记忆性 修正R/S分析法
資本市場 分形特徵 長記憶性 脩正R/S分析法
자본시장 분형특정 장기억성 수정R/S분석법
Capital Markets; Fractal; Long Memory; Modified R/S Analysis
证券市场是个典型的非线性复杂系统。本文运用修正R/S分析法对我国基金风格资产收益单一分形的基本统计特征进行检验,并与经典R/S方法进行对比分析。研究结果表明:在日、周、月等三种时间标度下Hurst指数均显著大于0.5,表现为持久相关性特征,说明股市风格具有长记忆性;从经典R/S分析结果看,我国股市风格具有显著的分形结构特征,风格资产指数收益率序列具有长记忆性,不同风格资产的业绩具有不同的周期性。
證券市場是箇典型的非線性複雜繫統。本文運用脩正R/S分析法對我國基金風格資產收益單一分形的基本統計特徵進行檢驗,併與經典R/S方法進行對比分析。研究結果錶明:在日、週、月等三種時間標度下Hurst指數均顯著大于0.5,錶現為持久相關性特徵,說明股市風格具有長記憶性;從經典R/S分析結果看,我國股市風格具有顯著的分形結構特徵,風格資產指數收益率序列具有長記憶性,不同風格資產的業績具有不同的週期性。
증권시장시개전형적비선성복잡계통。본문운용수정R/S분석법대아국기금풍격자산수익단일분형적기본통계특정진행검험,병여경전R/S방법진행대비분석。연구결과표명:재일、주、월등삼충시간표도하Hurst지수균현저대우0.5,표현위지구상관성특정,설명고시풍격구유장기억성;종경전R/S분석결과간,아국고시풍격구유현저적분형결구특정,풍격자산지수수익솔서렬구유장기억성,불동풍격자산적업적구유불동적주기성。
Securities market is a typical complicated nonlinear system. This paper uses modified R/S analysis to inspect single fractal basis statistical characteristics in fund style asset returns, and compares the result with the classic R / S method. The results show that, in the day, week and month time scale Hurst exponent is significantly greater than 0.5, for the enduring relevance of the performance characteristics, indicating that the stock market style has a long memory characteristics. From the classic R/S analysis results, China's stock market style has significant fractal structure, style asset index return series has a long memory feature, and the performance of different assets has different styles of periodicity.