The Empirical Analysis of the Long Memory Properties of Stock Market Returns and Volatilities in China
中国股市收益率与波动性长记忆性的实证研究

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.