A Theoretical And Empirical Study On Fractal Structure In Chinese Stock Market

The data of the stock market seem disorder and unsystematic. People use diverse methods to analyze the stock market for understanding the information which is included by the data of the stock market. These methods are distinguished between linearity and nonlinearity. The fractal structure analysis is the one of the nonlinearity analysis.According to the efficient market hypothesis (EMH), the prices of assets in an efficient capital market follow random walk, which the method of the modern financial linear analysis system based on. However recent years the nonlinear models are challenged by scholars, because many studies indicate that the EMH unfitted with the reality. The studies discover that the investors make no reflection on the information with linear model that is described by EMH. When the investors get information, they make no reflection immediately, however, they may make reflection in some times. There is time lag from getting information to making reflection. That is not linear reflection but nonlinear reflection. Therefore it may discover the character of financial market more and create new views for the financial market study to use nonlinear theory and model.This thesis presents two brunches of nonlinear theory——Chaos and Fractal, then focuses on the Fractal Theory. This thesis makes empirical study on the nonlinear character of Chinese stock market with the Fractal Theory. Firstly, the thesis makes test to make sure if or not the Chinese stock market fits in with the hypothesis of random walk. Then this thesis obtains the Fractional Dimension, V Statistic and Average Cycle, and explains the fractional character of Chinese stock market. This thesis makes primary discussion to the cause of producing the fractional character in Chinese stock market.