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Analysis of Long-memory and Non-symmetry of Time-series Data of Chinese Stock Market

Author: ZhangXingWang
Tutor: JiaZuo
School: Southwestern University of Finance and Economics
Course: Quantitative Economics
Keywords: Long-memory Non-symmetry Hurst R/S FI-STAR Shanghai Composite Index Shenzhen Composite Index
CLC: F224
Type: Master's thesis
Year: 2008
Downloads: 69
Quote: 0
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Abstract


The analysis of time-series econometrics has a great progress in the past two decades,The traditional analysis of time-series bases on the stationarity and the classic econometric hypothesis.As the devolopment of analysis of econometric time-series,the tradional analysis of stationary time-series gives way to non-stationary time-series.There are lots of non-stationary time-seires in the field of economics and finance,such as aggregate marcoeconomics,and the volatility of financial markets.The analysis of non-stationary time-series includes unit root time-series and non-linearity and so on.Long-memory process extends the unit root process.Non-symmetry exist in stock market and other financial markets widely.There are six chapters in all,the general content of every chapter are:Chapter 1-----the part of introductionIt introduces the background and significance of the subject which the writer choose,and introduces the method and tools which have been used.The writer found out that the analysis of long-memory and non-symmetry of time-series of stock market before, mostly commence in two separate ways.Meanwhile,the writer red a paper about the study the monthly datas of American unemployment,inspired by this,the writer wants to model the long-memory and non-symmetry of the stock markets’time series datas together by one model.Chapter 2----the part of introduction of the papers about long-memory and non-symmetry of stock markets.In this chaper,firstly introduce the papers about long-memory in and abroad,the second part,introduces the paers about non-symmetry.Chapter 3-----Long-memory in stock time-seriesIn this chaper and the next one,the writer has a complete academic analysis about long-memory and non-symmetry.Chapter 3 has a detailed introduciton about the definition,verifying,measurement of long-memory and modeling.It gives the definition in two ways:the definition in the way of autocorrelate function and the definition in the way of spectrum density. But in this paper, it defines the long-memory by the way of autocorrelation function. In this chapter, the writer simulates the time-series which have different characters about memory using the Excel and E-views. The writer also gives a detailed introduction of rescaled-range, which used to measurement of long-memory of time-series. The writer also points out that the shortage of the standard rescaled-range,and introduce another concept:Adjusted Recaled-range.In this chapter,the writer introduces the concept of Fractional Integration,which used to model the long-memory of time-series.Chapter 4----Non-symmetry of stock time-seriesIn this chapter, the writer introduces the non-symmetry of the stock time-series. Firstly, it gives a brief introduction of the models of T-AR, and the general form STAR. The next part, the writer had a detailed introduction of the volatility of stock market and the GARCH model to capture the character of non-symmetry of stock market. Meanwhile, give the reasons of the exist of non-symmetry: leverage effect and volatility feed-back effect.Chapter 5----the nestal model of long-memory and non-symmery of stock time-series datasIn this chapter,the writer intriduces two kinds of nestal models.One is Fractional Integration Smooth Transition Autoregression,which can capture the characters of long-memory and non-linearity of short-memroy mechanism.The other one is Fractional Integration GARCH model,it extend the GARCH model to the form of long-memory,to capture the long-memory of the volatility of stock market. Chapter 6----the positive analysis of the P.R.C.’s stock time-seriesThis is the part of positive ananlysis,the writer has a positive analysis of the day return of the index of Shanghai stock and the index of Shenzhen stock.The writer computes the index of Hurst of the index of Shanghai and Shenzhen.and find out that,except the day return of index of Shenzhen,the other series have a Hurst more than 0.5.Particularly,the volatility series of two markets,both have bigger Hursts,it means the volatility of two stock markets both have long-memory.In the second part,the writer models the non-symmetry GARCH,and gives the reason of the exist of non-symmetry of stock market. As a whole,the particular part of the paper are:firstly,Stochastically simulating the time-series which have different characters of memory.Secondly,computing the index of Husrt of the related series of Shanghai and Shenzhen Stock markets by Excel and Eviews;Thirdly,the writer analysis long-memory and non-symmetry together,other than the other scholars,and established a nestal model to capture these two characters of non-stationary series.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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