Testing for the Long-range Dependence in Chinese Stock Markets

摘要

This paper investigates the long-range dependence of the stock returns in Chinese stock markets. The empirical study shows that the weekly returns in Shanghai and Shenzhen stock markets exhibit significant non-normality, with heavy leptokurtosis, fat tail and right skewness. However, by using the modified R/S analysis of Lo (1991), no evidence of the long-range dependence is found for the return series in both Shanghai and Shenzhen stock markets. Compared with the classical R/S analysis, the result of the modified R/S analysis is more robust.