Study On Market Characteristics Of China’s Stock Index Futures Based On Fractal Market Theory

According to that each contract has its specific life stage,this paper uses the main and weighting contracts to study China’s stock index futures market. Based on Fractal Market Theory, the paper tests the effectiveness of the market and reveals its fractal structural characteristics and analyzes the long-memory of the return series. Besides that, the paper also presents the various factors which impact the fractal structure of the China’s market.This paper combining theory with empirical method firstly introduce the Efficient Market Theory, indicating that the EMH is based on a series of stringent assumptions such as frictionless market, unimpeded flow of information and capitalization. It means that the base of EMH is out of touch with the real cornerstone, and it is difficult to explain the reality of the many abnormal visions. We can see that the EMH is so limited. Then the paper gives the Fractal Market Theory according to complexity of China’s stock index futures market, and reveal the feasibility and application value of the FMH in China’s stock index futures market researching by comparing the FMH with the EMH and summarizing domestic and foreign research. Then the paper tests the effectiveness of the market, revealing its fractal structural characteristics and analyzes the long-memory of the return series. Besides that, the paper also presents the various factors which impact the fractal structure of the China’s market.Finally, the paper dissects the main factors of the fractal in China’s stock index futures market and groups the factors into general factors and special factors. In the end of the paper, fromthe whole conclusions the author gives some reasonable policy recommendations.