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选定上证综指及上交所分类的五类指数(工业类、商业类、地产类、公用事业类、综合类)为例,对其进行降趋势脉动分析(DFA)。发现这些序列的绝对值收益率序列的均有长记忆性。各个指数的长程相关性指数是不同的。最后对较早上市的12支地产类股票进行降趋势脉动分析,发现了上证综指、分类指数及个股间的长记忆性的强弱关系。其中上证综指绝对值收益率的长程相关性程度最高。其次为各个分类指数,个股的长程相关性普遍落于其所属类别指数。
For example, the five indices (industrials, commercials, real estate, utilities, and consolidated) of the SSE Composite Index and the SSE Group are selected and analyzed for Divergence Trend (DFA). The sequence of absolute returns for these sequences was found to have long memory. The long term relevancy index of each index is different. Finally, we analyze the downward trend of the 12 real estate stocks listed earlier, and find out the relationship between the long memory of Shanghai Composite Index, sub-index and individual stocks. Among them, the absolute return of Shanghai Composite Index has the highest degree of long-range relevance. Followed by the various sub-index, the long-range correlation of individual stocks generally fall in their category index.