China's Securities Market Chaos And Fractal

Among classics financial theory, Efficient Market Hypothesis( EMH) is the core of the quantity capital market theory all the time, and it is one of the theoretical foundation of modern financial economics at the same time . This hypothesis thinks that the stock prices can reflect all relevant information in the security market in time, accurately and fully. The implicit analytic type of EMH is linear, namely assume that investors make a response to information with the linear way.This theoretical system falls under the challenges that come from various fields since it is set up.With the development of social economy, more and more phenomena have already not received the rational explanation under this theory frame.The traditional capital market theory explains the reality weakly. Basic reason lies in traditional capital market theory studies the capital market with one linear mode mostly, But the realistic capital markets mostly reacted to external function in non-linear way. Non-linear relations is very universal in realistic economy system and it makes the reason-effect relations be out-of- balance. The complication and transformation of realistic economic behaviour is all caused by non-linear interaction.Nonlinear science have made very great progress since the sixties of the 20th century, and chaos economics is a front field of economics that nonlinear science is applied in. It researches nature and human society with special thought and methods, solves and demonstrates some problems and phenomena that traditional science can't explain, its application and study have already been permeated through numerous disciplines and fields. Chaos economics has been being the noticeable focus of the contemporary economic theories.As a kind of tool, it strengthens the description ability of economic theory to reality greatly . The research approaches to capital market must popularize Chaos, fraction, nonlinear dynamics etc. Fraction and Chaos theory, as the effective tool tostudy non-linear system, can make uncertain nonlinear system mathematical, offer to us new way to understand the market and the behavior of investor deeply. This text tries to adopt this method to study capital market, in order to overcome the limitation of EMH that is used to research linear system and the capital market theory.This text divides into five chapters:Chapter one synthetically comments to effective market hypothesis. At first it is history review, subsequently analyses to its theoretical foundation , and expounds query.Chapter two expounds Chaos and Fraction theory of capital market , respectively recommends the concept and characteristic of Chaos and Fraction theory, fractal market hypothesis, R/S analytic approach, Hurst index's estimation and application etc.Chapter three introduces methods to judge if one system have Chaos and fractal phenomena, mainly use Lyapunov index and fractal dimention to judge.Chapter four is the positive examination to the Chaos and fractal phenomenon of our country security market.We carry on straight examination of the yield ratio distribution of stock index to Shanghai and Shenzhen stock market separately, utilize R/S analytic approach to estimate Hurst index of Shanghai and Shenzhen then calculate fractal dimention, Thus draw the conclusion that the security market of our country possesses the characteristics of Chaos and fractal phenomenon. Finally, carry on the similar examination of the stock market of our country.Chapter five is some proposal and conclusion. It advise to the masses of investor and administrative department in terms of actual conditions of security market of our country.