A Research Of Long Memory About Chinese Stock Market

Capital markets tend to have non-linear characteristics, and an important manifestation of non-linear is long memory. Whether Chinese stock market has a characteristic of long memory has been controversial.This paper’s data are selected from Shanghai Composite Index and Shenzhen Component Index in November 2008- January 2016. Through establishing the ARFIMA model, we can study whether Chinese stock market has a characteristic of long memory. The study finds that in each period, the Shanghai Composite Index and Shenzhen Component Index have shown different degrees of long-term memory, and the strength of Shenzhen Component Index’s long memory is stronger than the Shanghai Composite Index.This paper argues that Chinese stock market has a characteristic of long memory, and is not an efficient market, but the long memory is weak, which means that Chinese stock market is gradually maturing.