中文摘要：

根据有效市场理论和分形市场假说，分别采用序列相关检验和R/S检验对我国股票市场收益率序列的短记忆性和长记忆性进行动态分析，得到以下结论：从短记忆性检验结果看，市场有效性呈逐步上升的趋势；长记忆性方面，我国股票市场存在明显的长记忆特征，并且近年来呈逐渐增强的趋势。我国股票市场监管条例改革、新股发行制度改革、股权分置改革等多项措施对消除市场短记忆性有着重要作用，但对降低市场长记忆性没有明显效果。为了促进股票市场的稳定、提高市场有效性，我国应该进一步加强市场监管、规范信息披露、引入和完善市场做空机制。

英文摘要：

Following the efficient market theory and the fractal market hypothesis, this paper performs a dynamic analysis on the short and long memory in the sequence of ROS in China＇s stock markets through the serial correlation test and R/S test. The results are as follows. Judging fi＇om the results of the short memory test, the market efficiency has a tendency of gradual up-rising; while on the long memory side, the results indicate that there are considerable characteristics of long memory in China＇s stock markets, which become more significant in recent years. In China＇s stock market, such measures as the reforms of market regulations, IPO system and equity-split are playing an important role in eliminating the short memory, but no obvious effects on the long memory. In order to promote the stability of the stock markets and enhance the market efficiency, China should further improve the market regulations, standardize the information disclosure system, introduce and perfect the market short selling mechanism.