A Study On Single Fractal Structure In Chinese Stock Market

Since the emerge of the capital market,people begin to carry out a variety of studies towards this complex system which contains subjective awareness.They want to explain reasons behind these market behaviors,thus summarizing a conclusive market theory to match for the future trend.Effective market hypotheses(EMH),based on the Random walk theory,is among these most famous studies which proposed by scientists like Fama.EMH suggest a bunch of linear structural features such as rationality assumption,independent price structure,fully reacted information,etc.It soon got popular as its perfect mathematical derivation and ideal conclusion and swept the whole academic circle.However,with the continuous occurrence of these "abnormal facts" in financial markets,since the 1980 s,more and more people have begun to question the universality of EMH from all aspects.they have formed their new theories to better explan the function of capital market.On foundation of Fractal Theory,Peters proposed the famous Fractal Market Hypothesis(FMH).This new theory breaks the fundamental assumptions of rational,linear,independent and normal features which EMH proposed,it suggests that markets contain such nonlinear facts like self-similarity,long memory,biased price,and volatility clustering,etc,and then opens up a new theoretical paradigm and research method for the study of real market.Based on the Fractal Theory,this paper fully and systematically analyzes the single fractal structure of China's stock market: start from the shortages of the EMH,contrastively introduce the Fractal Market Hypothesis,and then use it to describe the characteristic features of the single fractal system,finally conduct the empirical testing on Chinese stock market.The results suggest that Chinese stock market has a typical single-fractal structure,so its better for us to explain it through the FMH.The topic of this paper is novel with a strong timeliness.Fractal Market Hypothesis is yet a branding new theory within the study of market's non-linear structure research.many domestic research is still in its infancy.There are lots more to work.Sincerely,I hope this article can be a brick and attract more scholars into the study of this field.