Istv’an Berkes,Lajos Horv’ath,Piotr Kokoszka和Qi-Man Shao提出了新的检验方法来识别均值变点,这就使得仅凭自相关函数比较国内外股市显得略有不足。本文阐述了上述方法的原理,围绕着五只股票指数分析。通过比较均值变化点的相关性质,讨论了我国股市与成熟股市的联系与区别,并提出了个人的看法。 Istv’an Berkes, Lajos Horv’ath, Piotr Kokoszka, and Qi-Man Shao proposed a new test method to identify mean shift points, which makes the comparison of domestic and international stock markets by autocorrelation function only slightly inadequate. This article describes the principle of the above method, around five stock index analysis. By comparing the relative nature of the mean change point, this paper discusses the connection and difference between China’s stock market and mature stock market and puts forward personal opinions.