The Empirical Study In Chinese Security Market Based On The Fractal Market Theory And Its Elicitation

In the last forty years, Efficient Market Theory has been at the core proposition of the traditional financial theory .When we tracing back to its developing approach, we find many of definitions of it. In the normal, people always use the definition by Fama, which says: Efficient financial market is such market, in witch its bonds' prices always affect the information that we can gotten. What's more, Fama still put forwards the three types of efficient Market based on classifying information about assets pricing by Roberts, they are weak-strong efficient market, semi-strong efficient market and strong efficient market.For the linear essence of Efficient Market Hypothesis, it always has been worried by its test. In the first instance, empirical results were able to match the Efficient Market Hypothesis by large, but in the 1970s, Efficient Market Hypothesis has been gaining more and more challenge which not only from the theory but also from the empirical research. There are, especially, many of abnormal such as chaos theory, catastrophe theory, behavior finance theory, coherent market theory and the fractal market theory, which let researchers take more attention more about the use of non-linear theory in financial market.The Fractal Market Hypothesis can be summarized as followed: Firstly, when abundant investors of different investment point coexist, the market is stable, of which ensure the enough liquidity for investors. Secondly, the information set is more involved in the market sensitivity and technique in the short term than in the long term. Whenever the investment point exists, the long-term basic information is in the dominant position. Thirdly, once there was a sudden affair arose, the validity of long-term information might be in problem, so the long-term investors may shut the books, or they may trade according to short-term information. When the investment points of all investors come to the same level, the market becomes unstable. The long-term investors will not offer liquidity for the short-term investors to stabilize the market. Fourthly, the price reflects the combination of short-term technique transactions and long-term basic evaluation. Therefore, the short-term price fluctuation will be easier the long term or it has some extent of noisy. The basic inclination of the market was based on the economic environment. The short term inclination is more like the Herd Effect. The fluctuation of short-term price has nothing to do with the long-term economic effect. Fifthly, if the security has nothing to do with the economic cycle, there...