Study On Influence Of Memory Effect's Persistence Between Listed Company's Accounting Earnings And Stock Price

In the financial information disclosed by public listed company, accounting information, is on a core status, regarded widely one of the most important information, which has been attention to by investors and social other circles. Returns after the annual reports supplied has been a hotspot issue by scholars.That the investors are lack of information or are restricted analytic capability even though they receive new information leads to that they can't make linear reaction. It is only the current of information reach up to a critical situation that they make response to formerly neglected information abruptly. This non-linear reaction to the information causes the memory effect of the stock price returns, which is mean that change of price has the characteristic of persistence or long term dependence. Price is not mutually independent displays the long-term non-cyclical circulation. The fact above shows that China stock market does not satisfy the Efficient Market Hypothesis(EMH) theory. Whereas Fractal Market Hypothesis(FMH) can interpret returns sequence which doesn't follow random walk and describe the persistence change of memory effect. So, this thesis introduce nonlinear system theory to economical domain to test persistence change of stock price's returns after listed company announce their accounting earnings. The objective aims to find whether the accounting earnings has influence on the persistence of stock price's returns.R/S(Rescaled Range) analysis is adopted and the result shows: in China stock market, price's fluctuation doesn't follows random walk as efficient market hypothesis affirm, stock price's returns is a persistence sequence which possess character of circle and memory effect. There is not only a great influence on persistence of stock price's returns but also a positive correlation between profits of listed company and persistence of returns when information of earnings publicize. But in a long time, the influence of accounting earnings gradually disappears along with new information come into stock price.