中国股市收益率分形特征的实证研究

Empirical Research on Fractal Characteristics in Chinese Stock Markets

文章运用STABLE软件对沪深股市收益率进行了实证研究,结果表明股票收益率分布具有明显的尖峰厚尾的分形特征。与传统的正态分布相比,分形分布能够更好地处理这类问题。这对进一步的投资组合研究具有很重要的意义。

A empirical research on Shanghai and Shenzhen stock markets is given by applying STABLE software.The results show that Chinese stock markets have obvious fractal characteristics of narrow peaks and fat tail. The fractal distribution is much better than the normal distribution in dealing with this problem, with significant bearings for portfolio research.