Long-term memory of the returns in the Chinese
stock indices

doi:10.1007/s11467-008-0038-7

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Front. Phys. ›› 2008, Vol. 3 ›› Issue (4) : 489-494. DOI: 10.1007/s11467-008-0038-7

Long-term memory of the returns in the Chinese stock indices

WAN Wei¹, ZHANG Jian-Wei²

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Abstract

The modified R/S statistic (MRS) and the local Whittle method (LWM) are used to analyze the long-range dependence on various indices of the Chinese stock markets. The MRS accepts the null hypothesis of no long-range dependence while the LWM rejects it. We also find that the long-range dependence phenomena presented in these markets depend on the time in which they are measured.

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WAN Wei, ZHANG Jian-Wei. Long-term memory of the returns in the Chinese stock indices. Front. Phys., 2008, 3(4): 489‒494 https://doi.org/10.1007/s11467-008-0038-7

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