Fractional Co-integration Method and Its Application on China’s Stock Market

机译：分数协整方法及其在中国股票市场中的应用

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According to the existence of the long-memory characteristic in finance time series, general fractional co-integration model is proposed based on GHP method. Based on day closing price series of Shanghai and Shenzhen stock markets, empirical analysis of spillover effect between Shanghai stock market and Shenzhen stock market is performed using general fractional co-integration model. As the results shown, price indices series of Shanghai and Shenzhen stock markets show the characteristic of long-memory and there is long-run equilibrium relationship between them. It implicates that China’s stock markets is non-efficient market, and spillover effect is exist in China’s stock markets.

机译：针对金融时间序列中长记忆特征的存在，提出了基于GHP方法的通用分数协整模型。基于沪深股市日收盘价序列，采用通用分数协整模型对沪深股市溢出效应进行实证分析。结果表明，沪深股市价格指数系列表现出长期记忆的特征，两者之间存在长期均衡关系。这暗示着中国的股票市场是非有效市场，中国股票市场存在溢出效应。

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来源
《2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会）论文集》|2009年|1-5|共5页
会议地点 Qingdao(CN)
作者
CAO Guangxi;
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作者单位

School of Economy and Management, Nanjing University of Information Science Technology, Jiangsu Nanjing, P.R.China, 210044;

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会议组织
原文格式 PDF
正文语种 eng
中图分类统计学;
关键词
Long-memory; Fractional Co-integration; Nonlinear; Spillover Effect;

机译：长内存;分数阶协整;非线性;溢出效应;

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Fractional Co-integration Method and Its Application on China’s Stock Market

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