negative serial correlation 中文意思是什麼
negative serial correlation
解釋
負序列相關- negative : adj 1 否定的 否認的；拒絕的 （opp affirmative）； 反對的 反面的；消極的。2 （opp positive） 【電...
- serial : adj 1 連續的；一連串的；一系列的。2 按期出版的；（小說等）連載的；連續刊行的；連續廣播的。3 分期...
- correlation : n. 相互關系，相關（性）；對比；交互作用；【數學】對射，異射。 correlation index 關聯指數。 correlation mineral 對比礦物。
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We analyse the dispersion of stock returns and have the tests of serial correlation. the results show that the trading mechanism has a significant effect on a number of characteristics of stock returns. first, the distribution of open - to - open returns has greater variance than that of close - to - close returns. second. the serial correlation pattern is quite different in the two return series. the open - to - open returns have negative autocorrelation coefficient, but the close - to - close returns is positive. further, employing an arma ( 1, 1 ) model we find that in the opening. returns exhibit higher residual noise and stronger dependence on past returns, reflecting stronger deviations from the random - walk form of the market efficiency hypothesis
主要表現為：一，開盤收益序列比收盤收益序列具有更大的方差。二，兩種收益序列的序列相關形式不同，開盤收益序列表現為負相關，而收盤收益序列表現為正相關。而且我們通過arma （ 1 ， 1 ）模型的進一步檢驗，發現開盤收益序列比收盤收益序列具有更大的殘差，更依賴于過去的收益序列，也更偏離於市場有效的隨機遊走形式的假設。 -
We empirically test the return serial correlation of shanghai stock market under the vr ( variance ratio ) test framework. we suggest that the test results of index and individual stocks are consistent with the exist results. the index return is positive serial correlation and individual stocks returns are weakly negative serial correlation
2 .我們使用高頻交易數據，在方差比檢驗的框架下檢驗了上海證券市場收益率的序列相關性，我們發現在市場指數和個股樣本方面的檢驗結果與以往的研究結果存在一致性，即指數收益率存在正序列相關性，而個股收益率存在弱負序列相關性。
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