摘要
本文运用R/S分析和ARFIMA模型,对中国股票价格指数的长期记忆特征进行了实证分析,认为深、沪两市总体上不存在长期相关性,从长期记忆性的角度分析,不能否认中国股市的有效性。
Using the R/S analysis and ARFIMA model, the article analyzes the long correlativity of stock market index in China, concludes that it doesn't exist long correlativity in stock market in Shenzhen and Shanghai,and it is improper to deny the efficiency of the stock market in China.
出处
《西安金融》
2005年第1期37-38,共2页
Xi'an Finance
