基于分形理论下的股票市场有效性研究

利用分形理论对我国股市的有效性进行研究,研究的对象包括:上证A股指数、深成A股指数、上证B股指数和深证B股指数。首先通过Kolmogorov-Smirnov检验法来检验中国股市收益率的正态性,得出收益率不是正态分布的,在此基础上,利用分形理论中的R/S分析法来研究中国股市的有效性。研究的结果表明,中国股市具有明显的分形结构,因此不是有效市场,A股市场相对于B股市场来说是比较有效的,B股市场的可预测性大于A股市场。同时,还进一步研究了中国股票市场的非周期循环。

The study on the efficiency of China's stock markets on the basis of fractal theory

This dissertation analyses the efficiency of China's stock markets on the basis of fractal theory. SHA, SZA, SHB and SZB are included in this study. Firstly, Kolmogorov-Smirnov is used to test the normal distribution of China's stock markets' returns; we find that the returns are not normal distribution. Then the efficiency of stock markets is researched by using R/S analysis. The authors draw a conclusion that A-share market is more efficiency than B-share market, while B-shares' prices are more predictable than A-shares'. Finally, some researches are conducted on non-period cycles.