摘要
以2005年6月至2013年5月8年间的中信标普纯风格系列指数为基准风格资产,在分形理论基础上,应用修正的R/S方法将其收益率序列进行长记忆性实证,结果发现,在不同时间标度下,风格资产的长记忆性有明显差异,各风格资产所使用的持股策略也不同。在中国股市的大波动性背景下,基准风格资产收益率Hurst指数出现"噪声"效应与"拟噪声"效应并存的现象。
The paper analyzes the long -term memory of fund style asset yields with modified R/S model in a empirical way based on fractal theory.The paper sets CITIC Pure Style Index as fund style asset and the data is counted from June 2005 to May 2013 with lasts almost 8 years.The results show that long -term memory of fund syle assets varies a lot between different time scales.Stock holding strategies suitable for each fund style asset are not same.Under the background of great vibration of China stock market , the Hurst exponents of fund style assets ’ yields series present both “Noise effects” and “Anti-Noise effects”.
出处
《经济问题》
CSSCI
北大核心
2014年第2期59-63,共5页
On Economic Problems
关键词
基准风格资产
分形
长记忆性
fund style asset
fractal
long-term memory
