经济与管理研究
經濟與管理研究
경제여관리연구
Research on Economics and Management
2015年
8期
54~62
,共null页
沪港通 市场有效性 长期记忆性 R/S 分析 ARFIMA 模型预测
滬港通 市場有效性 長期記憶性 R/S 分析 ARFIMA 模型預測
호항통 시장유효성 장기기억성 R/S 분석 ARFIMA 모형예측
Shanghai-Hong Kong stock connect; market efficiency; long memory; R / S analysis; ARFIMA model
为了研究沪港通对沪市股票市场有效性的影响,本文选取2000—2015年上证股指,运用R/S分析并结合DFA统计量得出：沪市股票市场存在明显的长期记忆性,但沪港通之后其长期和短期记忆性显著下降。基于ARFIMA模型的预测效果与长期记忆性特征之间得出对应关系：如果长期记忆性显著,则预测效果好;如果记忆性不明显,则预测效果差。本文对沪港通前后进行长度为10步的分数阶自回归模型预测,结果显示ARFIMA模型对沪指收益率整体的预测效果较好,但沪港通开通之后模型的预测效果却明显减弱。
為瞭研究滬港通對滬市股票市場有效性的影響,本文選取2000—2015年上證股指,運用R/S分析併結閤DFA統計量得齣：滬市股票市場存在明顯的長期記憶性,但滬港通之後其長期和短期記憶性顯著下降。基于ARFIMA模型的預測效果與長期記憶性特徵之間得齣對應關繫：如果長期記憶性顯著,則預測效果好;如果記憶性不明顯,則預測效果差。本文對滬港通前後進行長度為10步的分數階自迴歸模型預測,結果顯示ARFIMA模型對滬指收益率整體的預測效果較好,但滬港通開通之後模型的預測效果卻明顯減弱。
위료연구호항통대호시고표시장유효성적영향,본문선취2000—2015년상증고지,운용R/S분석병결합DFA통계량득출：호시고표시장존재명현적장기기억성,단호항통지후기장기화단기기억성현저하강。기우ARFIMA모형적예측효과여장기기억성특정지간득출대응관계：여과장기기억성현저,칙예측효과호;여과기억성불명현,칙예측효과차。본문대호항통전후진행장도위10보적분수계자회귀모형예측,결과현시ARFIMA모형대호지수익솔정체적예측효과교호,단호항통개통지후모형적예측효과각명현감약。
In order to study the effect of Shanghai-Hong Kong stock connect on the efficiency of Shanghai＇s stock market,this paper adopts Hurst index and DFA statistics to analyse Shanghai stock index from 2000 to 2015. The results show that Shanghai stock market has an obvious long-term memory,but after Shanghai-Hong Kong stock connect,the longterm memory and short-term memory decline significantly. Based on the corresponding relations between the long-term memory characteristics and the ARFIMA model,it is found that if long-term memory is remarkable,the ARFIMA model works; vice versa. This paper also conducts length of ten steps of the fractional order auto-regressive model predicts. The results show that the ARFIMA model for the overall forecast of Shanghai＇s stock market yields is better,while the latter prediction of Shanghai-Hong Kong stock connect is weaker than before.
