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。
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 using R/S analysis. 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.
出处
《中南大学学报（社会科学版）》
2005年第2期222-226,共5页
Journal of Central South University：Social Sciences
关键词
有效市场理论
分形市场理论
R/S分析法
efficient market hypothesis
fractal market hypothesis
R/S analysis
