Fractionally Integrated Model And Its Application On Chinese Stock Market

After more than ten years' development, the stock market of China experiences a process from juvenility gradually to maturity. The characteristic of the returns of Chinese stock market and the difference between Chinese stock market and foreign mature market are the main problems this thesis investigates. ARMA-type models and ARCH-type models are used to analyze the daily returns of shangzhengzongzhi and shenzhengchengzhi. Firstly, the developmental process of Chinese stock market is introduced and the conclusion that the data after 1998 should be used in quantitative analysis was drawn after qualitative analysis of the daily returns. Secondly, several common ARMA models and ARCH models are introduced in detail, and fractionally integrated models, such as ARFIMA and FIGARCH, which are developed in recent years, are introduced, too. Finally, above-mentioned models are applied to stock index return data, and follow conclusions can be drawn:Chinese stock market has not achieved weak-form efficient market. Volatility clustering and persistence in variance are found in our stock market. There is distinct lever effect in our stock market.