我国股票市场非线性特征的检验与分形验证

Validation of Nonlinear and Fractal Characteristics of Chinese Stock Market

长期以来,资本市场理论一直为线性范式所主宰,市场被认为是静态的、均衡的、有效的。然而随着一些异常现象的出现和非线性理论的发展,人们开始逐渐认识到线性范式的缺陷和失灵,非线性的理论和方法正在成为资本市场研究方法的主角。本文先对我国股票市场的非线性特征进行定性分析,然后通过实证检验说明我国股票市场不服从传统理论假定的正态分布,最后验证我国股票市场具有分形特征。

For a long time, the capital market theory has been dominated by linear paradigm, and market was considered to be static, balanced and effective. However, with the development of non-linear theories and the appearance of many failure abnormities in the market, people have begun to realize the limitation and the dysfunction of linear theories, and nonlinear theories and methods have become more important. This paper first qualitatively analyzes nonlinear characteristics in Chinese stock market, and then argues through empirical approach that Chinese stock market does not obey the normal distribution of the traditional theory. At last, the paper concludes that Chinese stock market has fractal characteristics.