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本文运用分数差分的方法研究了亚太地区主要股票市场的日股票价格.根据数据特征,我们运用了Robinson(1994)年提出的检验统计量的一种特殊形式对金融数据的单位根和不稳定性进行检验.结果证明,该地区股票价格长记忆行为各不相同但十分相似.
In this paper, the method of fractional difference is used to study the daily stock prices of major stock markets in the Asia-Pacific region.According to the data characteristics, we apply the unit root and instability of a special form of the test statistic proposed by Robinson (1994) Test results show that long-term memory behavior of stock prices in the region vary but are very similar.