上市银行股票市场分形特征的实证研究

Empirical Analysis on Fractal Feature in Listing Banks′ Stock Market

应用资本市场分形特征的判别方法,对上市银行股票的分形特征进行了实证研究,计算了16家上市银行股票的Hurst指数。结果显示:每只股票的Hurst指数均大于0.5,这表明上市银行股票市场具有明显的分形特征,不属于有效市场假说(EMH)所描述的有效市场;此外,四大国有银行与其他银行相比,Hurst指数较小,这说明其他银行的分形特征比四大国有银行更加明显。

Through the discrimination method of fractal character in capital market,this paper analyzes the 16 listing banks′ fractal feature,and computes their Hurst indexes.The results show that the Hurst indexes are all bigger than 0.5,which means the listing banks′ stock market has obvious fractal features,and the market doesn′t belong to the effective market,mentioned in the Efficient Market Hypothesis（EMH）.Besides,compared with other banks,the four state-owned banks have the smaller Hurst indexes,which mean other banks′ fractal features are stronger than the state-owned banks.