我国股市股价动态行为的实证分析.pdf

5 2 V ol. 5 No. 2 2007 6 V ocat iona l Education and Econom ic Research Jun . , 2007 陈 艳 , 438000) : 最先由H urst所提出的 R / S分析法, 主要是考察 Hu rst指数本文正是在此基础上, 以上证 180 指数的周收 价的对数收益率序列为样本数据, 利用 R / S分析法来分析股票价格时间序列的趋势性, 建立合理 的线性回归模型, 得出实证分析结论 : 股价收益率; 动态行为; R / S分析法; 实证分析 : F 8309 : A : 2007) 02- 0019- 04 Analy sis of the D evelopm en t B ehavior of Stock sM arkets in Ch ina CH EN Yan H uanggang N orm a l Co llege, H uangg ang H ube i 438000) A bstrac t: R /S analytic m ethod, brought fo rw ard by H urst first, tried to exam ineH urst Index. T ak- ing 180 exponents cyc les c losing pr ice Logarithm earn ing ratio as sam ple data, th is paper ami s at ana- lyz ing share price tmi e ser ies trend, estab lish ing rational linearity return m odel, obta in ing the dem on- strative analyz ing conc lu sion. K ey w ords: stock earn ing ratio; developm ent behav io r; R /S analyt ic m ethod; dem onstrat ive analy- sis , ; , ; , R / S Resca led R ange A nalysis), ; , , R /S , 一) R /S分析的基本思路 H urst H R /S ) R / S , R /S H urst) , : , M andelbort { t ) }, t = 1, 2, , , 3, . . . , N, N , R / S: : : 2007- 03- 18 : 1979 - ), , , , 20 14 1 t + 1 = 1) i= 1