Research On Fractal Characteristics Of China’s Stock Market

The traditional capital markets are based on the efficient market theory assumes and developed, However, the financial crisis and major financial anomalies occurred in recent years, are not to be explained in the efficient market theory. In order to compensate for the defects of this theory, a new the theory will be applied born-fractal theory. In this paper,using Eviews and Spss and Matlab analysis tools, the Shanghai Composite Index and Shenzhen Component Index both as a research object,an empirical test of their daily yield.Selecting the time interval when the stock market established until May30,2014.China’s stock market does not meet the final validation of the normal distribution, showing a remarkable fractal characteristics, and calculate the two cycles of the market, by disrupting validated test to verify the value of Hurst,the real Hurst value is merely a sequence located within the cycle.In the process of empirical testing, we found Shanghai stock market has more obvious "fat tail" situation than Shenzhen stock market,the Hurst value of the former is larger than the latter within the cycle, representing the former has stronger long memory than the latter; and draw a cycle length of the two stocks were330days and493days, indicating that shenzhen stock market long memory for longer periods of time; In order to combine theory with practice closely, on the basis of fractal theory, the stock market risk measurement were studied.To16listed banks stocks as an object, using Hurst index and VaR and poor M construct a comprehensive risk evaluation index,using this index for market risks of16stocks and to measure the level of risk rankings,come to16listed Banks in our country the size of the market risk; In addition, these16listed banks were classified according to the different nature, a comprehensive measure of market risk again, to achieve a combination of theory and practice,For the investors to pick stocks provides a reference basis,Finally based on the empirical results and conclusions, standing in the Angle of investors, respectively, puts forward some countermeasures and Suggestions from three aspects.