%0 Journal Article
%T The Empirical Analysis of the Long Memory Properties of Stock Market Returns and Volatilities in China<br>中国股市收益率与波动性长记忆性的实证研究
%A LI Ya
%A |jing
%A {
%A }
%A HE Yue
%A ZHU Hong
%A |quan
%A <br>李亚静
%A 何跃
%A 朱宏泉
%J 系统工程理论与实践
%D 2003
%I 
%X By Granger's concept of long memory on series this paper analyzes the long memory properties of stock market absolute returns and volatilities in China. The results show that the stock market returns and volatilities in China have long memory and persistence although they are not as strong as that of American stock market; The memory of Shanghai stock is stronger than that of Shenzhen stock; The autocorrelation function of a fractional integration model can fit the sample autocorrelation much well.
%K return
%K volatility
%K autocorrelation
%K long memory<br>收益率
%K 波动性
%K 自相关系数
%K 长记忆性
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=87DDC10C088CCE8C&yid=D43C4A19B2EE3C0A&vid=EA389574707BDED3&iid=CA4FD0336C81A37A&sid=9CF7A0430CBB2DFD&eid=23CCDDCD68FFCC2F&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=18&reference_num=19