安庆师范学院学报（自然科学版）2016，Vol.22Issue(3)：31-34,4.DOI:10.13757/j.cnki.cn34-1150/n.2016.03.010
基于收益率分解模型的行业板块指数长记忆性研究
Empirical Study of Long Memory in China Sectoral Indices Based on Stock Returns Decomposition Model
摘要
Abstract
This paper applies the CAPM model to decompose the return rates of 11 industry sectors in stock market of China into the excess returns from the market and those from the industry itself , and then uses R/S and LW analysis methods to investi-gate their long memories.The results show that the long memory of the excess returns from the industry itself is weaker than the long memory of the excess returns from the market, and the long memory of the volatilities of the excess returns from the industry itself is more dependent on each industry.关键词
板块指数/行业波动率/长记忆性/CAPM模型Key words
sectoral indices/industrial volatility/long memory/CAPM model分类
社会科学引用本文复制引用
邱瑾,陈升..基于收益率分解模型的行业板块指数长记忆性研究[J].安庆师范学院学报（自然科学版）,2016,22(3):31-34,4.基金项目
国家社会科学基金项目（14BTJ031），浙江省自然科学基金项目（Y14A010064），教育部人文社会科学重点研究基地重大项目（13JJD910002）和浙江省统计研究重大课题“离散因变量空间计量模型的统计推断”。 （）
