%0 Journal Article
%T Long-Term Memory in Stock Returns of Shanghai Stock Exchange: Evidence from V/S Statistic<br>上证股市收益的长期记忆:基于V/S 的经验分析
%A HE Xing-qiang
%A LI Zhong-fei
%A <br>何兴强
%A 李仲飞
%J 系统工程理论与实践
%D 2006
%I 
%X For the first time,the rescaled variance test is applied to investigate the long-term memory effect in China's stock returns.We examine the full sample daily stock market returns of Shanghai A and B shares.Based on the detection of changes of variance using the iterated cumulative sum of squares algorithm,we study the long-term memory effect of stock market returns in different sub-periods. Some randomly selected stocks are also considered.Results obtained include: there exists little evidence of long-term memory in the full sample stock market returns of Shanghai A and B shares,with regard to A shares,the B shares shows relatively more significant long-term memory;there are 2 and 4 notable variance changes in A and B shares respectively,and for each sub-period of A shares,there does not exist notable long-term memory,however,there does exist considerable long-term memory in some sub-periods of B shares.Study of the randomly selected stocks concludes that among the 10 selected stocks,only 1 stock's return series displays significant long-term memory,and with regard to A shares,the B shares shows relatively more significant long-term memory.
%K stock market
%K long-term memory
%K rescaled variance(V/S)
%K iterated cumulative sum of squares(ICSS)<br>股票市场
%K 长期记忆
%K 重标方差(V/S)
%K 迭代累计平方和(ICSS)
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=4882DB120825AADD&yid=37904DC365DD7266&vid=96C778EE049EE47D&iid=59906B3B2830C2C5&sid=F4B561950EE1D31A&eid=318E4CC20AED4940&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=23