The Fractal Structure Test And Long Memory Model For China Stock Market

If the stock market is the weak efficient of Fama Efficient Market Hypothesis, then the any hard work to forecast the stock price according to the price series is unisexual. Because today price is shown by yesterday price. the change of the price ,in other word, the interest only display the information which was un-predictable, but information is completely random, so, the interest series is random, which is un-predictable too. But the study of China stock market interest series shows that the interest series is not independent at all. They not only have short-term correlation, also have long-term correlation. So, according to the forecasting theory, the correlation make the forecast feasible.This paper basis the foundation of Fractal Market Hypothesis & long-memory model ARFIMA theory, this article demonstrates the theory background, main ideas and theory prerequisites of the Short-term memory,Fractal Market,Long memory model. Then testes the daily indexes of interest rate in Shenzhen and Shanghai with the consideration of the stock market in China, founding the interest rate of the stock market of China is not in agreement with normal distribution, contradicting the prerequisites of Efficient Market Hypothesis. On this basis, this article testes the effectiveness in Shanghai stock and Shenzhen stock with the relevant methods of distributing statistics. And make a long memory model. Using this model to predict, draw a very accurate results.The results show that the Shanghai stock market and the Shenzhen stock market all have long memory properties, but it became weaker,. With all these findings, this article concludes that the effectiveness of the stock market of China is low. It also analyzes the reasons why China stock market have lone memory properties, putting forward the ways to improve the effectiveness of the stock market, hoping to be able to provide basis for management and strategies for macro administers, to provide reference for the broad masses of investors to make suitable investment policies.