Analysis Of Dual Memory Of The Chinese Stock Market

Chinese stock market is a huge and complex system.From the perspective of its operation period,Chinese stock market will often rise and fall,so the research on its behavior trend is the focus and hot issue.Early scholars used the efficient market hypothesis as the research basis,but the actual operation of the market led to its research theory being questioned.Then the fractal market theory was born,which opened another way for the financial market research.Based on the fractal market theory and the theory of structural mutation,this paper studies the mutation point and long memory of the realized yield sequence of stocks in Shanghai and Shenzhen,and then explores the operation law of Chinese stock market.First of all,on the basis of literature research at home and abroad,this paper USES classical R/S,modified R/S,GPH,LW,ELW and maximum likelihood estimation method,inspection the benchmark Shanghai composite index and Shenzhen component index of whether the return sequence has long-term memory,it is found that both Shanghai and Shenzhen stock market exists double long memory characteristic,the Shanghai market yield sequence of memory is greater than the Shenzhen market,yieldsof memory,and memory of volatility in the Shanghai market day yield sequence is less than the memory of Shenzhen market return volatility.Secondly,on the basis of testing long memory,this article from the perspective of structural breaks,punishment,the modified algorithm and BP mean more mutations of incorrect-site model to examine the day of the Shanghai composite index and the Shenzhen component index yield sequence if there is a structural breaks,the results prove the existence of the Shanghai and Shenzhen markets have characteristics of structural breaks,test it out on thsxnhe basis of "fake" long memory,results show that Chinese stock market has a "true" double long memory.Finally,based on the dual long memory of Chinese stock market,the correlation between daily returns and volatility of Shanghai and Shenzhen stock markets is studied by using FIVAR model.According to the conclusion of this paper,this paper explores the reasons affecting the double-length memory of Chinese stock market,and proposes to improve Chinese stock market from the aspects of market regulation,stock market supervision system,reform of non-tradable shares and investor education,so as to narrow the gap between Chinese stock marketand the developed market,so as to lead to a healthy and stable "bull market" pattern.