Change Structure Analysis For The Successive Rises And Falls Of Returns Based On Information Criterion

As a part of the statistic inference, change point issue is taking more and more attentions and research. With the deep theorem study of the change point problem, it usage extends more and more. Chang point problem is not only applied in quality control, but also in atmosphere, financial, computer and many other fields. Especially in the financial fields, there are many application examples, such as the financial crisis contagion, the influence of the stock returns change, the policy effect in the stock market. These research findings are very helpful to learn why and how the stock market changes.In this paper, we mainly study the change point problem in the market returns, especially for the successive raises and falls of returns. Different with the daily returns, the successive raises and falls of returns can recover some results about the stock market. The article is organized as follows:We mainly introduce the study with the change point and the study achievements with change point in the financial field in Section 1. We discuss why and how to use Schwarz Information Criteria (SIC) with the successive raises and falls of returns to study the statistic inference.In Section 2, we mainly introduce the SIC theory and the change point finding in the successive raises and falls of returns with SIC. In fact, the returns is obey the gamma distribution, so we can use the SIC method to find the change point quickly and accurate.Empirical research is studied in the Section 3. We use the Shanghai composite index returns from May 21,1992 to May 31,2015. The daily returns from these days transform to successive raises and falls of returns, and find the change points in them. We compare the positions of the change points with the date to find whether there are policy changes near the date. And we learn that the positions in raises returns and falls returns are unsymmetrical, which means that the relationship between the successive raises and falls of returns is complex. It shows that the Shanghai Composite Index return is not conform to Effect Market Hypothesis.In Section 4, we summary what we do in this paper and talk about the disadvantages in this article.