Abstract we discuss the long memory theory under the nonstationary framework, and test long memory characteristics of China stock market by the adjusted method. First, based on the limitations of the existing null hypothesis, we put forward a more general null hypothesis which conforms to reality better. This is different from other researches. Through strict and theoretic testification, we find that the traditional statistics are out of effect. Based on Andrew.Lo (1991), we put forward a nonstationary robust and general long memory testing approach. Finally, we discuss the long memory characteristic of china stock market. The conclusions are of high practical value, and provide a more scientific model for us to analyze the long memory characteristics of stock market.
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Received: 24 November 2008
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