Zhang, S.Y. and Geng, K.H. (2007) A Study on Long Memory of Ultra-High Frequency Duration Sequence of China’s Stock Market. Journal of Jiangxi University of Finance, 16, 103-107. (In Chinese)

has been cited by the following article:

• TITLE: A Study on the Impact the Shanghai-Hong Kong Stock Connect Making on the Long-Term Memory of Chinese Stock Market

  AUTHORS: Yongyue Zhang

  KEYWORDS: Shanghai-Hong Kong Stock Connect, Hurst Index, Long Memory

  JOURNAL NAME: Open Journal of Social Sciences, Vol.5 No.4, April 21, 2017

  ABSTRACT: Based on the log return of Shanghai composite index, this paper constructs Hurst index by R/S analysis method to measure the long memory in stock market. The results show that there is strong long memory in China’s stock market. After the opening of Shanghai-Hong Kong stock connection, the long memory in China’s stock market has been reduced, so does the memory cycle. It means that the Shanghai-Hong Kong stock connection has a positive effect on enhancing the effectiveness of China’s stock market.