Fractal Market Hypothesis And Application In Chinese Stock Market

This paper oppugns the Efficient Market Hypothesis with paradigm of linear first, thinking it has some problems in the presupposition of market normal distribution , the presupposition of investor's rational behavior and explanation of price fluctuation etc, Then a great deal of substantial evidence and analysis results are put forward .The paper considers the Fractal Market Hypothesis with paradigm of non-linear can contribute to improve the puzzle of Efficient Market Hypothesis. In the paper, it expounds these new tools in the nonlinearity complicated theory , introducing some important achievements which were gotten by applying these new tools in foreign capital markets .These results have indicated the overseas markets have some fractal structures. Furthermore, this paper attempts to apply R/S analysis ,Hurst Exponent , Fractal dimension to analyze stock market in China.Because of the consistency of Shanghai and Shenzhen stock market, It only make a preliminary statistical analysis to Shanghai stock market.It finds the hurst exponent is 0.641,and the average cycle is about 60 weeks.In addition,it is found that the logarithm yield of Shanghai stock integration exponent does not submit to normal distribution,but submits to stable –paretian distribution. It can be found that Chinese stock market has also fractal structure.On the foundation of examining the data of the overseas markets and home market, the paper thinks it is valid that the Fractal Market Hypothesis considers the capital markets have fractal structure and thinks that the hypothesis of market normal distribution is not reliable , investors' behavior is complicated, investor's response to information is complicated and changeful too, and the price's fluctuatation comes from investors' different investment level and expectation of investment . Finally, it analyzes the academic and practical meanings of the Fractal Market Hypothesis, indicating the Fractal Market Hypothesis is one new theory being worthy of our close attention .