Long Memory Behavior in the Chinese Stock Market Based on Semiparametric Estimation Method

Author

Wei, Zhao ; Jian-min, He

Author_Institution

Sch. of Econ. & Manage., Southeast Univ., Nanjing

fYear

2006

fDate

5-7 Oct. 2006

Firstpage

1576

Lastpage

1579

Abstract

In this paper long memory property is examined in the Chinese stock market by means of high frequency data. Two semiparametric methods in frequency domain, local Whittle (LW) estimation and log periodogram (LP) regression, are used to analysis the fractional integration order d. The results show that LW estimation can solve choice of the parameter m compared to LP regression, and neglect intraday effect of high frequency data, which can prove the scale invariability of long memory. Thus, LW estimation is applied to find the relationship between long memory and the intrusive events, which provide that exogenous shock induced by the events appear to have more intense long memory behavior

Keywords

estimation theory; integration; regression analysis; stock markets; Chinese stock market; high frequency data; local Whittle estimation; log periodogram regression; long memory behavior; semiparametric estimation method; Doped fiber amplifiers; Electric shock; Fluctuations; Frequency domain analysis; Frequency estimation; Helium; Memory management; Stochastic processes; Stock markets; Time series analysis; Intraday effect; LP regression; LW estimation; Long memory;

fLanguage

English

Publisher

ieee

Conference_Titel

Management Science and Engineering, 2006. ICMSE '06. 2006 International Conference on

Conference_Location

Lille

Print_ISBN

7-5603-2355-3

Type

conf

DOI

10.1109/ICMSE.2006.314038

Filename

4105142