Study On Fluctuation Of The Stock Returns Of Our Country Based On Fractal Analysis

Returns of Shanghai Synthesis index and Shenzhen Composition index are taken as the studyobject. By analyzing their fractals foundation, we are attempting to carry on the systematicanalysis of the fluctuation characteristic of our country's stock market returns and the macroscopiceconomical influence, taking stock market's long memory as the foundation, namely taking thenon-effective of stock market as the premise to provide the theoretical reference for investors'rational investment and the national macroscopic financial regulation.First, a kind of method on estimating the fractal parameter in scaling symmetrical theory isimproved, and the fractal analysis of stock market returns of our country is proposed by thecomprehensive utilization of many kinds of fractal analyze methods. We carried out the list fractalanalysis of stock market returns of our country series and the fluctuation series by using DFA,sliding windows DFA, R/S analysis and the improved fractal parameter estimation method. Thefindings demonstrate stock market returns of our country series and the fluctuation series have thelong memory characteristic, which means that the stock market of our country is the non-effectivemarket. Based on the findings mentioned above, further analysis of the multifractal characteristicsof our country's stock market returns was made by using sliding windows MFDFA and theWTMM method, which confirms the existence of multifractal structure in our country's stockmarket.Next, we have carried out the measurement analysis of the Shanghai and Shenzhen stockmarket returns series by using the ARFIMA-FIAPARCH model. ARFIMA-HYGARCH modeland skew t distribution, taking the existence of the dual long memory in the stock market aspremise. The result shows that the volatility clustering and the leverage effect do exist in ourcountry's stock market returns, and had the tendency of enhancement in around 1996. At the sametime we have analyzed, from the VaR estimation angle, the forecast effect of theARFIMA-FIAPARCH-skt model and ARFIMA- HYGARCH-skt model what has the strongportray ability to long memory, the volatility clustering and the leverage effect to stock marketreturns of our country.Then, we examined the mean spillover effect and the volatility spillover effect betweenShanghai and Shenzhen returns stock market with the help of the VAR-BEKK-MVGARCH model and the Granger causality test which is to remove the long memory series, and find that the meanspillover effect in Shanghai and Shenzhen stock market returns from 1991 to 2006 was notobvious, and that there was only the unidirectional volatility spillover effect. But the bidirectionalmean spillover effect and the bidirectional volatility spillover effect in Shanghai and Shenzhenstock market returns has been more obvious since 2000. Moreover, the DCC test indicated therewas, to some degree, dynamic correlation between the Shanghai and Shenzhen stock marketreturns.Last, we tried to inspect the influence of the macroscopic economy on the ratio of ourcountry's stock market returns by constructing the VAR system on the basis of the mean spilloereffect in returns stock market. The result demonstrate that in the short run, the monetary policy,including the rate, the money supply and the exchange rate, has great influence on the stockmarket of our country, while in the long run, there is obvious correlation between our country'sstock market returns and the entity economy.