China's Stock Market Fractal Structure To Explore

After more than ten years of development, scale of Chinese capital market has been strengthening constantly, having even more high requisition for capital market theories. In order to even more perfectly analysis market and guide market, a lot of people do a large number of work. On the basis of introducing foreign advanced theory, in line with the domestic actual conditions, they carry on research to innovate, propose theoretical system that according with the China's actual conditions and Chinese characteristics. Not merely our country, even the foreign study on capital market is based on the economics frame of Neoclassicism. But Neoclassicism economics is based on Efficient Market Theory. Such as Markowitz's modern assets portfolio theory, Sharp, Minter and Mossin's Capital Assets Price Model; Ross's Arbitrage Pricing Theory; Black-Scholes's the option of fixes the price classical capital market theories. They are all based on EMH. So, we can say, EMH is the bases of the classical capital market theory.EMH is necessary to prove that price follows a random walk model. But EMH is established on market is independent normal distribution, and variance exist. But the market is a complicated interdependent system. A lot of cases is what EMH can't explain, such as scale effect, season effect etc. A lot of theories that explain these special cases have appeared. For example behavior financial theory, fractal market hypothesis etc.To investor, it is not a lot of small changes to be paid close attention to, but extreme fluctuation. So, in order to describe market more perfectly , we should fully consider the irregular , unstable phenomenon in the market. FMH analysis arose .FMH analysis is based on the Chaos theory. The importance of the Chaos theory has already displayed in a lot of fields. Applying Chaos theory to economics is an important progress both to chaos and economics.FMH assumes market is made up of investors of different invest period. Theinformation has different importance to different investor .If only the market does not change when time pass on, it will keep its fractal structure and still in stabilization. Otherwise, market will lose stabilization and crash.EMH is put forward by Peters (1991,1994) .He used R/S analytical method analysis to analysis market's fractal. This text applies the R/S analysis, dimension analysis, V -statistics to examine Chinese capital market. It is not only an introduction but also an innovation. Result is that Shanghai Stock market is fractal and has long-term memory, but Shenzhen not. And I point out some mistakes in the past works that have been published in many journals.