The Researches of Correlation of China's Securities Market Stock Price Index

摘要

With auto-correlation function of the stock price index as time series, this text uses DFA method to study long-run correlation of China's stock market. The result indicates, long-run correlation exists in the stock price index, shown as persistent time series, and they disobey Efficient Market Hypothesis. That is because, the market information is not distributed evenly, which causes the differences that the investors understand the information. The information can not reflect the stock price in time and the lagging nature exists in the stock exchange, have caused partial random walk of stock price index.