上海股票市场非线性与混沌的检验

An Examination of Nonlinearity and Chaos in the Shanghai Stock Market

临近返回检验是一种特别适合于检验金融市场中的非线性与混沌的新方法。本文将临近返回检验与BDS检验相结合 ,检验了上证综合指数收益率的非线性与混沌的存在性 ,结果表明 ,上证综合指数收益率虽然存在显著的非线性 ,但不存在混沌 。

The close returns test is a recent innovation which is suited to testing for nonlinearity and chaos in financial markets.This paper tests for the presence of nonlinearity and chaos in the Shanghai Stock Exchanges composite index returns series using the close returns test and the BDS test.The results indicate that the data are not chaotic,although consierable nonlinearities are present and do not support the finding of some domestic economists.