Study On Fractal Characteristics In Chinese Stock Market Hebei Plate

The stock market is an important component of securities and financial market. As an important financial trading tool, the volatility of stock price is a basic and important issue in the current financial research. The efficient market theory has some limitations in describing the stock market. Fractal theory uses nonlinear system to analyze the complex wave state of stock market, which solve many limitations and shortcomings of the assumptions in efficient market theory, so the structure and price volatility characteristics of the stock market explained by fractal theory closer to the true market behavior. Therefore, in this paper, the fractal theory is applied to investigate the stock market structure and price fluctuation characteristics.Firstly, based on the normality test, correlation test and nonlinear test on the data, we verify that the Hebei plate stock return data is non-normal and non-linear, which confirms the limitations of Effective Market Hypothesis. At the same time, it also provides conditions for fractal method.Secondly, we use single fractal to analyze the Hebei plate stock return rate, and discover that stock return rate exists a cycle (i.e., long-term memory), then we calculate the Hurst index from the entire return series, before and after the cycle. The results show that the H value has obvious differences:the H value before the memory cycle> the H value of the entire time interval> the H value after the memory cycle. This confirms that the Hebei plate stock returns have fractal characteristics, and the Shanghai stock trend is more obvious than the continuing trend of the Shenzhen stock, so Shanghai stock relative risk is smaller.Thirdly, in the presence of a single fractal feature, we use generalized Hurst index, multi-fractal spectrum to test the existence of multi-fractal characteristics of the return series. The results show that the return series have multi-fractal characteristics, and the fractal characteristics cause by the autocorrelation and fat-tail distribution of the return series. Also shows that the single fractal theory can’t well describe the stock return series, so we should be subject to the multi-fractal results in the analysis of conclusion. Finally, in view of the fractal characteristics of Hebei plate stock returns, we explore the reasons from the Hebei plate and the whole stock market environment. Believe that individual investors accounted for the major of information and the inconsistent responses to the information are the main reason of fractal feature. The information disclosure of listed companies is not true, not timely and not fully; the deviation know, the lack of institutional and operational improper in the state-owned enterprises restructuring; The differences and nonlinear of listed enterprises development and growth process and so on are all the reason of causing fractal characteristics. Then we give suggestions from the securities regulators, listed companies and investors.