Research On The Long Memory Of Stock Market Return Volatilit

In recent years,the reform of Chinese financial market has been deepening continuously,and the awareness of risk management of the government and financial institutions has also been strengthening continuously.Therefore,it is of great practical significance to study the ability of financial market to cope with crisis.Looking back at major financial shocks in history,the financial crisis in 2008 and the stock market crash in 2015 have caused serious economic damage to the affected areas,and the shock range of the capital market has far exceeded market expectations.Studying the volatility of stock market returns can not only help investors understand the volatility rules of the stock market,so as to make appropriate investment decisions,but also provide a theoretical basis for financial regulators to make policies,provide effective reference and early warning for policy making and government supervision,and conform to the trend of financial development under the new economic background.This thesis calculates the long memory parameters of the stock market return volatility series through a variety of quantitative estimation methods,and tests the authenticity of the long memory of the series.It not only focuses on the statistical characteristics of the long memory of the stock market,but also focuses on the realistic impact of the changes in stock market efficiency before and after the financial crisis.Firstly,fractional difference autoregressive moving average ARFIMA(0,,0)model is used to model the time series of stock return volatility.LW,ELW and 2FELW estimation methods are used to estimate the long memory parameters of the return volatility series of Shanghai Composite Index,Hang Seng Index and Nasdaq index.Secondly,the Mayoral(2012)test and Berkes(2006)test were used to further verify the authenticity of long memory,and it was empirically concluded that the long memory parameters of the return volatility sequence of the Shanghai Composite Index,Hang Seng Index and Nasdaq index were all between 0.5 and 1,which means that the stock market return volatility had non-stable long memory characteristics.The stock market is not a weak efficient market.In contrast,the efficiency of American stock market is higher than that of Chinese stock market,but there is still a gap between the efficient market and the behavioral finance explanation is given for this conclusion.Finally,the return volatility series is segmented to analyze the changes in stock market efficiency before and after the financial crisis.In the process of segment estimation,it is found that the efficiency of the stock market will fluctuate in the process of experiencing the financial crisis,and the changes of the efficiency of the stock market in different countries are different in the process of experiencing the financial crisis:(1)The efficiency of the stock market will fluctuate in the process of experiencing the financial crisis,and the changes of the efficiency of the stock market are different in different countries: An inefficient stock market may be even less efficient after a financial crisis;A more efficient stock market,on the other hand,may be more efficient.(2)In the long run,the impact of financial shock on the efficiency of the stock market is negative,and the long-term memory characteristics of the stock market will be more significant.It can not only point out clear goals for the future development direction of China’s stock market,but also learn from the mature experience of other countries.It can also give a warning when China’s stock market may repeat the mistakes of developed countries,take a road of stock market development with Chinese characteristics,and put forward reasonable suggestions for the deepening reform and long-term steady development of China’s stock market.