Modified R/S Analysis of Long Memory Property in China Stock Market
Yanmei Hu · Application of Statistics and Management · 2006
On the basis of weighing advantages and disadvantages of various methods of testing long memory property,modified R/S analysis is adopted to examine long memory property for daily return and daily absolute return of our stock market.Under 5 percent significant level,the following results are obtained.For daily return series,no long memory exists in both of Shenzhen and Shanghai indexes,but memory length of Shenzhen is longer than that of Shanghai;while volatility series represented by daily absolute return series present stronger long memory property.