Risk Measurement Based on Returns' Long-memory and Empirical Analysis of Investment Horizon Effect in China Stock Market
Fan Tai · Systems Engineering · 2005
Risk can be defined as the difference of the real and forecasted result from the point of predictability, and can be measured by the noise of return series. On basis of this, studied the investment horizon effect with China Stock Market (Data.) The result indicated that there are different correlation and return/risk characteristic with different sampling interval. And the short-term performance of Shanghai Stock Index and Shenzhen Stock Index returns excelled than long-term perfor-(mance,) which in some extent reveals the speculation of China Stock Market.