| With the development and growth of the Chinese capital market, the consummating and advancement to the theories of capital market is highly required. Traditional capital market theories are studied in the frame of neoclassical economics. As the core of neo-classical economics, Efficient Market Hypothesis (EMH) has always being the foundation of capital market theories. Many classical capital market theories are developed on the basis of EMH or on some bases closely related with it. EMH is established on the following three presuppositions: rational investor, efficient market and random walk process. Viewing from this, traditional capital market theories are studied by means of approximate analysis on which is based linear model. Because of the complicated nonlinear properties ,such as irreversibility in time, multi-dimension feedback and uncertainty in route, the practical capital market can be viewed as a complicated nonlinear dynamic system. The two important instruments, linear and approximate analysis, on which neoclassical economics depends, couldn't be used to precisely describe practical capital market. Many empirical analysis, home and abroad, show the limitation of EMH. So it's an inevitable selection to study capital market in nonlinear ways instead.As concerned above, on the basis of some relevant fruits home and abroad, transcending the linear model of neoclassicaleconomics and regarding capital market as a complicated system, the thesis gives an empirical analysis to Shanghai stock market by some complexity theories, such as fractal and chaos theories. We intent to give a more precise method to describe practical capital market .The purposes of the thesis are the following:(1) Discusses the applicability of studying Chinese capital market by traditional capital market theories and complexity theories respectively.(2) Broadens the research domain of complexity sciences.(3) Concerned Chinese capital market, provides some practical models such as forecast model, risk estimate model, etc.(4) Contributes to the complexity theory of capital market that considers all nonlinear effects.Through working over, several main results are obtained as following:(1) Traditional capital market theories under linear frame can't describe Shanghai stock market exactly. The behavior of Shanghai stock market doesn't satisfy EMH. Market prices at different moment are distinctly related to each other.(2) Shanghai stock market, which shows distinct fractal structure and chaos properties in the price evolution route, is a nonlinear dynamic system. There is a strange attractor in the price evolution route.(3) Indicated by fractal dimension, the price movement model in Shanghai stock market system can be established with at least 3 main state variables.(4) Some nonlinear variables are good index for analyzing and forecasting stock market. Examples involved are following: Hurstindex (H) substitutes for variance to evaluate risk in securities investment; dynamic fractal dimension is a prior indicator of price movement.On the basis of these results, 2 models for Chinese capital market by nonlinear method are established as following: (1) forecast model, (2) risk evaluating model. Finally, based on the fruits of control study involved traditional capital market theories and complexity, the prospect on the study of capital market complexity is put forward.LI Daoye (Finance science) Directed by WU Haihua...
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