Analysis Of Chinese Stock Market's Non-Linear Characteristics

Capital market,as an emerging market,financing,optimizing the allocation of resources,and other aspects of economic development is playing an increasingly important role.Capital market is one of the cores of the economy.Safeguarding the stability of the capital market, effectively preventing and management of financial risks are one of the core objectives of national government agencies and investments.How is the capital market run? linear or nonlinear? predictable or unpredictable? For a long time,many scholars try to find reasonable theory and model to interpret the capital market,and made a series of results.Unfortunately, the classic theory of the capital market has a lot of limitations on essential characteristic of financial markets.This paper is different from the traditional theory and using non-linear theory and approach to study the capital market,such as fractal, power-law and chaos.This paper is divided into five chapters.Chapter 1 is an introduction,introduce the background and significance of topic. ChapterⅡsummarizes the base assumption of classic theory of the capital market and its shortcomings and challenges.The third chapter is fractal Market theory,calculate the Hurst index of Shanghai integrated index in three different ways and the average cycle.ChapterⅣadopted abroad new nonlinear estimation method to fit the two tail of the yield and tail of the absolute yield.Chapter 5 is from the perspective of chaos to study the dynamics of the capital market,calculated Shanghai integrated index's correlation dimension.The main conclusions are:1) The Hurst index value is 0.615,significantly larger than 0.5.The average cycle is 304 days.2) The left tail of Shanghai integrated index yield is asymptotically subordinate to power distribution with index -2.6929 while the right tail's power index is -3.0777 and absolute value's index is -2.7797.3) The correlation dimension of Shanghai integrated index is about 3.5.