Researches on Scale Properties of Chinese Stock Markets Based on R/S Method
DU Guo-xiong · Shuxue de shijian yu renshi · 2008
By using R/S analysis method,we empirically analyze Chinese stock market closing index with different time-windows and study the scaling properties.The results show that there are long-range memory and scale-invariance in Chinese stock markets,as well as 244 days and 190 danys non-periodic cycles respectively in Shanghai and Shenzhen.