金融时间序列中单位根的检验: 在亚太地区主要股票市场中的应用

Testing Unit Roots of Financial Time Series: An Application to Major Stock Markets in Asia-Pacific Area

  • 摘要: 本文运用分数差分的方法研究了亚太地区主要股票市场的日股票价格. 根据数据特征, 我们运用了(1994)年提出的检验统计量的一种特殊形式对金融数据的单位根和不稳定性进行检验. 结果证明, 该地区股票价格长记忆行为各不相同但十分相似.

     

    Abstract: In this article, we examine the daily structure of stock price indices in the major stock markets in Asia-Pacific area using fractional integrated techniques. According to the long memory characteristics of the data, a particular version of Robinson's (1994) test is proposed for testing unit roots and non-stationarity in the financial data. The results show that the long memory behavior of the stock price indices in this region is different but quite similar.

     

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