The Study On The Price & Return Rate Of China's Stock Market Under The Non-linear Framework

Many classical capital market theories, which are developed on the basis of Efficient Market Hypothesis, are established under the linear framework, for EMH is established on the following three core presuppositions: rational investor, efficient market and random walk process. Nevertheless, Many empirical studies, home and abroad, show the limitation of EMH and many phenomenona in the stock market can not be reasonably explained by classical capital Market theories. So it's an inevitable selection to study capital market in nonlinear method instead. The study on the price & return rate of China's stock market under non-linear framework is very meaningful to enrich the knowing of stock price and return rate behavior, to standardize and supervise the stock market, to measure price for the near future derivative securities.As concerned above, under the non-linear framework, the dissertation gives an empirical analysis to the distribution, correlation and persistence, periodicity, heteroskedasticity, complexity of China's stock market by some non-linear model, such as R/S analysis, frequency spectrum, ARMA model, ARCH model, and factor analysis, fractal and chaos theories and other non-linear methods. Also some practical concerns such as risk measurement, the influence to the price volatility of the trade institute, the unbalance of price shock under new information and the price predictability, have been discussed using non-linear methods. The main results are listed as follows:(1)China's stock Market can not be reasonably explained by classical capital theories. The behavior of stock price & return rate, which shows long memory and persistence and thin peak and heavy-tailed feature in the distribution picture, is not conform to EMH.(2)There are some periodical phenomenona, with some unregular periods, in the price & return rate behavior of China's market.(3)The volatility of China's stock market can been well estimated by AHCH model. The empirical study by AHCH model series shows that: the shock to the price & return rate is unsymmetrical between good and bad news, the volatility of China's stock market can been great disturbed by the increase of trade cost ,whereas only little influence by the decrease of trade cost.(4)Regarding stock market as a complicated system and examining through fractal and chaos theories , there are distinct non-linear features in the price & return rate of China's stock market. The system of Shanghai and Shenzhen index series can be established by at least 4 variables.(5)The volatility in China's stock market varies timely, jointly and assembly. The relation between risk and return rate is not distinct and the performance is not very good in the prediction of return rate volatility by ARIMA model.Some policy suggestions and the further research trend have been pointed out in the last chapter of the dissertation.