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| 文章编号：1672-3104(2005)02-0222-05 |
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基于分形理论下的股票市场有效性研究 |
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叶航,林水山 |
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（浙江大学经济学院,浙江杭州,310027） |
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| 摘 要： 利用分形理论对我国股市的有效性进行研究,研究的对象包括:上证A股指数、深成A股指数、上证B股指数和深证B股指数。首先通过Kolmogorov-Smirnov检验法来检验中国股市收益率的正态性,得出收益率不是正态分布的,在此基础上,利用分形理论中的R/S分析法来研究中国股市的有效性。研究的结果表明,中国股市具有明显的分形结构,因此不是有效市场,A股市场相对于B股市场来说是比较有效的,B股市场的可预测性大于A股市场。同时,还进一步研究了中国股票市场的非周期循环。 |
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| 关键词： 有效市场理论;分形市场理论;R/S分析法 |
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The study on the efficiency of China s stock markets on the basis of fractal theory |
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YE Hang, LIN Shui-shan |
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（College of Economics, Zhejiang University, Hangzhou 310027, China） |
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| Abstract: This dissertation analyses the efficiency of China s stock markets on the basis of fractal theory.SHA, SZA, SHB and SZB are included in this study. Firstly, Kolmogorov-Smirnov is used to test the normal distribution of China s stock markets returns; we find that the returns are not normal distribution.Then the efficiency of stock markets is researched by usingR/Sanalysis. The authors draw a conclusion that A-share market is more efficiency than B-share market, while B-shares prices are more predictable than A-shares . Finally, some researches are conducted on non-period cycles. |
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Key words: efficient market hypothesis; fractal market hypothesis; R/S analysis |
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