Research And Empirical Test Of Fractal Pricing Model For Listed Company's Stock In China's Real Estate Industry

For a long period of time, the Efficient Market Theory has occupied the dominant position of economic research. The pricing model, such as Markowitz's Portfolio Theory, Sharpe's Capital Asset Pricing Model (CAPM) , Ross's Arbitrage Pricing Model (APT) and Black-Scholes's Option Pricing Model are all based on the Efficient Market Theory. They constitute the cornerstone of modern financial theory. However, with the development of research, people find that the market is under the non-linear, unpredictable complex motion, away from equilibrium contrary to a market with linear, predictable, simple unified motion which is described in efficient market. The Efficient Market Theory cannot explain the phenomenon of irregular fluctuations in the capital market. It also lacks convincing explanation of market crisis, especially the inherent mechanism of capital market. Therefore, the Fractal Market Theory comes into being under this background. The new theory points out the defects of efficient market's random walk and put forward a concept of "biased random walk". It not only switches its research direction from integer dimension to fractal dimension, but also establishes a new motion style to display the market price fluctuations from simple Brownian motion to Fractional Brownian Motion. The Fractal Market Theory more accurately describes the market's structural characteristics and makes financial research expand to fractal dimension.The thesis testifies the fractal structure of listed companies' stock price movement in China's real estate industry, based on fractal research methods. And meanwhile, it verifies the Capital Asset Pricing Model and Fama-French pricing model, based on the efficient market. The purpose of this thesis is to establish a new fractal pricing model to reveal the pricing laws of listed companies in China's real estate industry. After empirical test, the new fractal pricing model will provide investors a more accurate reference in investment. This whole thesis can be mainly divided into five sections. First, it briefly reviews the meanings and limitations of the Efficient Market Theory. And then, the thesis fully introduces the Fractal Theory and the fractal time series. In the course of the study, we find that the price fluctuations of financial assets don't conform to Brownian motion, actually they comply with Fractional Brownian Motion. Among this, the Hurst index is one of the important targets to describe the Fractional Brownian Motion. The whole thesis is focused on this index. In Chapter Three, the thesis discusses the traditional pricing model and fractal pricing model. The Chapter Four and Five are the parts of empirical research and we mainly go in for two aspects. For one thing, the thesis verified the fractal structure of China's real estate industry according to the research method of Fractal Theory which is called Rescaled Range Analysis(R/S analysis). This section certifies that the fractal has existed in our capital market. For another thing, the thesis amended the defects of traditional pricing model, especially Capital Asset Pricing Model and Fama-French pricing model. We test and verify the applicability of listed companies' stock with the new fractal pricing model. The result shows that the new pricing model can explain the acts of stock price which can not be done in Efficient Market Theroy.