| The linear analytic method has been dominant of all the capital market theories for a long time. In recent years the linear analytic method, which is based on EMH, has undergone unprecedented challenges. It is found that investors are not reacting to information in linear way as EMH described. There is a delay between investors'receiving information and taking an action. This is a nonlinear reaction, rather than a linear response. It is also found that the returns of assets aren't independent to each other. They don't follow random walk model and their probability distributions aren't normal too.While linear way fails, a lot of scholars start to analyze capital market from a non-linear way. They developed a large number of nonlinear methods to analyze capital market, such as chaos and catastrophe. Fractal is one of them. Even though it has developed for just a few decades, the fractal theory can explain many extremely complicated and diversified natural or economic phenomena. It has become the most powerful analysis tool in non-linear capital market theory. This paper is about to use R/S analysis of fractal theory to do the empirical research of Chinese Stock market, attempting to reveal the fractal characteristics of Chinese stock market.This paper is divided into four parts:The first chapter is the introduction part. Its main task is to raise questions upon questioning the linear analytic model, namely nonlinear analytic model; outline the non-linear theory; review domestic and foreign literature; give the main content and structure.Chapter II combines fractal theory with finance. The fractal characteristics of the financial time series and R/S analysis are mainly discussed here.The third part is the empirical part, it suggests that Chinese stock market obviously has a fractal structure under the analysis of varies of statistical and empirical testing methods.Part 4 is the summary; it also discussed why Chinese market is fractal and gave some relevant implications. |
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