The Empirical Research Of The Chinext Investment Risk Based On Time-varying Hurst Index

The efficient market hypothesis(EMH)is the mainstream of modern finance research,is also one of the basic theory of financial measurement field.But since the 1980 's,the efficient market hypothesis is questioned,nonlinear science quietly rise,more and more scholars use nonlinear theory to analyze the market.Fractal and chaos theory as the classical theory of nonlinear science is known by many scholars,and used.As one of several basic analysis methods of fractal theory,the R/S analysis method is also a widely used analytical method,and it is often used to estimate Hurst value and the average cycle length.the analysis method is also used in this article.Based on the fractal theory,in this article,the chinext index logarithm yield since 2010 when it is beginning is analyzed comprehensive,and it found that the chinext market have obvious nonlinear characteristics and long-term memory.Thus in this article,using R/S analysis method is to estimate overall Hurst value,and it is to measure the chinext index logarithm yield of average cycle length,and from stability,short-term memory,Hurst index validity three aspects,The conclusion is R/S analysis method is the stability and effectiveness of data,The short-term memory has a little influence on the estimation results of Hurst index.And then based on the R/S analysis method,use the time-varying Hurst index to analysis the chinext index logarithm yield:Firstly compare and analysis the Hurst index at different times,the analysis result is that time varying Hurst index can be better at reflect the change of the market than the overall in terms of Hurst index.Secondly based on the analysis of different sliding window and step on the result of time-varying Hurst index,Choosed one of the most suitable sliding window length and step length,as the basis of the follow-up analysis of time-varying Hurst index.Then analyzed the connection between the time-varying Hurst index change trend and the logarithm yield of chinext,and correspond with the chinext market of historical events,showed the time-varying Hurst index can predict the trend of the chinext market.Finally,based on the analysis of time-varying Hurst index,using the Hurst index features that Hurst index greater than 0.5 shows positive correlation and it less than 0.5 shows the persistence to evaluate the chinext investment risk,the conclusion is that the investment risk of the chinext is larger,the probability of continue to fall more than the probability of increase in the future.The aim of this airticle is to explore the analysis method which is apply to the chinext market investment.Hope it can help Chinese investors when he is evaluating investment risk about the chinext market as a reference,at the same time it is helpful for the majority of investors in the actual chinext investment operation process.