中国股票市场的R/S分析
he R/S Analysis of China Stock Market
股票价格波动是呈现出纯粹的随机游走, 还是遵循一个有偏的随机游走过程或分形布朗运动？始终是学术界争论的热点。50年代初，Hurst提出了一种研究以上过程的新方法—R/S分析，1972年, 曼德布罗特首次将R/S分析应用于美国的证券市场, 分析股票收益的行为。本文将R/S分析用于我国的股票市场, 研究股票收益的变化规律。结果显示我国的股票收益遵循有偏的随机游走, 价格不能对信息做出及时充分地反映，收益序列呈现出一定期间的持续性, 未来一定时间的股票价格受当前价格的影响。
Either the volatility of stock market demonstrate a truly random walk，or follow a partial random walk or fractal Brownian motion? It’s a hot debate in academia. In early 1950s, Hurst start a new method to study the above process with R/S analysis, in 1972,Mandelbrot studied the American security market with R/S analysis method for the first time, he applied this method to study the behavior of stock return .In this paper, we will apply this method to our country’s stock market ,with the purpose to find out the exchange rule of stock return. The result show that China’s stocks follow a partial random walk, and their prices are not fully reflected in the information promptly.Returns showed persistence, and today\\\\\\\
谢西海、郭建华、刘莹丰
财政、金融
股票市场，分形，R/S分析
Stock market，Fractal，R/S analysis
谢西海,郭建华,刘莹丰.中国股票市场的R/S分析[EB/OL].(2007-09-30)[2025-08-02].http://www.paper.edu.cn/releasepaper/content/200709-655.点此复制
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