Structural Catastrophe Theory And Its Evidence, The Shanghai Composite Index

Structural change had been put forward by GC.Chow in 1960 directed at increasing the estimation precision of the classical model. As long as F statistical value constructed by sectional regression exceeds the given critical value, structural change happens. The critical value is exactly the structural change point and the study on this point just constitutes the structural change problem. The further study on this problem is accompanied by the development of the unit root and cointegration theory. Structure change is the most advanced subject of unit root theory and cointegration theory which represents one of the developing trends in Macro-Econometrica. At present, though the theory is far from maturity and the empirical practice is limited, further study and research on the subject carry great significance. The theory needs further clarification of the inside mechanism and the perfection of structure change model. The paper combined the stock index with the study on structure change. On one side it is because the stock index apparently has the characteristics of structure change and is representative of it; on the other side, there are many confusing phenomenon arising in Chinese stock market such as going opposite to GDP growth rate while growing in pace with net exports and currency supply. Therefore, it is one of the bases of studying on Chinese stock market to discover the laws and characteristics of Chinese stock market's operation. The empirical objectives are composed of discovering the characteristics of Chinese stock market operation from the perspective of quantity and theoretically expounding the economic reasons of stock market's quantitative characteristics.Structure change can be classified into unit root related structure change and cointegration structure change. The main subject of this paper is the previous one. The research of unit root related structure change abroad took place mainly in America in 1990s, which included the so-called "Perron phenomena" and "partly anti-Perron phenomena". However, there are few papers on this subject at home.Wang Shaoping, a doctor candidate of Prof. Li Zinai, had made research on these two kinds of structure change in his paper for doctor degree. He had drawn some empirical conclusions by the use of MenteCarlo method and had made some new discussion and comments. This paper has made no further breakthrough on structure change model, the prominent specialty of this paper lies in the new points of view on the internal mechanism of structural changes and the new definitions of both the structural changes and the related problems. The thoughts of the author embodied best is the judgment that the structural changes are caused by external factors and the internal factors will never result in structural changes. Finally the author use his own new idea explain knotty questions appearing in the history and further analyze and explain the economic reasons causing the structure change in stock index.