| 分形市场假说及其对沪市的实证分析 |
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| 引用本文： | 谢鸿飞.分形市场假说及其对沪市的实证分析[J].惠州学院学报,2005,25(5):18-24. |
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| 作者姓名： | 谢鸿飞 |
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| 作者单位： | 惠州学院,经济管理系,广东,惠州,516007 |
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| 摘 要： | 通过对上证综合指数做分形检验和其对数收益率做正态分布检验得出赫斯特指数为
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| 关 键 词： | 分形市场假说 R/ S 分析 赫斯特指数 分形维 |
| 文章编号： | 1671-5934（2005）05-0018-07 |
| 收稿时间： | 2005-04-06 |
| 修稿时间： | 2005年4月6日 |
Fractal Market Hypothesis and Application in Shanghai Stock Market |
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| XIE Hong-fei.Fractal Market Hypothesis and Application in Shanghai Stock Market[J].Journal of Huizhou University,2005,25(5):18-24. |
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| Authors: | XIE Hong-fei |
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| Institution: | Department of Economics and Management, Huizhou University, Huizhou 516007, Guangdong China |
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| Abstract: | The Hurst Exponent, H=0.641, can be obtained by doing the fractal test of Composite Index of Shanghai Stock Exchange as well as the normal distribution test of its logarithm yield, which proves Shanghai Stock Market not only obtains obvious constancy and tendency, not random walk, but also is of fractal structure. The cycle period on the average, N = 60 weeks, shows that Shanghai Stock Market has strong ability in short - term behavior mode, so it is of high risk. And the logarithm yield conforms to stable - paretian distribution instead of normal distribution. In short, the Efficient Market Hypothesis should be rejected while fractal Market Hypothesis supported according to the test results. |
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| Keywords: | Fraetal Market Hypothesis R/S Analysis Hurst Exponent Fraetal Dimension |
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