Efficient Market Or Fractal Market

Since the 1980 s,people have been continually questioning the use of effective market fakes in the real stock market.The market has a series of nonlinear features such as self-similarity,long memory,price deviation and volatility aggregation,such as linearity,independence and normality.Therefore,the proposal of the fractal market hypothesis opens up a new research paradigm for studying the operation of the stock market in reality.Whether the effective market hypothesis or the fractal market hypothesis is more able to explain the stock market of the two countries,this paper analyzes the long-term memory of the stock market of the two countries based on the SSE Composite Index of the Chinese stock market and the S&P 500 index of the US stock market.From the effective market hypothesis theory and the fractal market hypothesis theory research,the descriptive statistical test,JB test,Q-Q chart,LB test and BDS test are used to illustrate the existence of non-normal and nonlinear fractal market hypothesis in this market.Characteristics: The Hurst index of the S&P 500 index and the Shanghai Composite Index's yield series is estimated by R/S analysis,modified R/S analysis,DFA analysis,AP analysis,LW analysis and ELW analysis.This paper also measures the acyclic period of the sample by V statistic,uses the BB model to measure the peaks and valleys of the two stock markets,determines the cycle period,and finally carries out structural mutation and "pseudo" long-term memory test on the two yields.It is found that both the US stock market and the Chinese stock market have stable long-term memory characteristics,and the Chinese stock market has a long memory.Through the above empirical analysis,it is found that the Chinese and American stock markets have the characteristics of a fractal market,and the effective market hypothesis does not explain the stock market of the two countries well.Finally,this paper analyzes the reasons for the long-term memory of the stock market,mainly due to the lag of information,the adaptive market hypothesis and the existence of the “herd effect”.Moreover,the reasons for the long-term memory differences between China and the US stock market are further analyzed.It is found that the difference in investor structure in the stock market,the difference in investment demand of investors in the stock market,and the current stock market system differences are likely to lead to long-term memory.The reason for the difference.It is suggested that the Chinese stock market can be improved in the future in terms of regulatory system,investor structure,quality and market regulation to narrow the differences between the Chinese and American stock markets and make the Chinese stock market more stable.