An Empirical Study On The Aperiodic Cycle Of Small And Medium - Sized Plate Market In China

Traditional financial theory thinks that the volatility of stock prices follows a random walk process.The efficient market hypothesis which is based on this assumption, as the cornerstone of traditional financial theory, is highly sought after.The efficient market hypothesis also contributed to the subsequent formation of the capital asset pricing model, option pricing models and other classic theory.However, with the continuous development and deepening of the study of financial markets, there has been more and more financial vision which traditional financial theory cannot explain.Scholars had questioned the EMH.Fluctuations in the stock price are not following a random walk process.The real financial market does not seem to be a simple, linear, balanced system. A new financial theory is urgently needed.In this context, the fractal market hypothesis was born which is a representative of the econophysics.FMH thinks that the market is a dynamic, non-linear, non-equilibrium system. At the same time it successfully explains the various financial market visions. Then FMH is accepted by more and more scholars.FMH becomes a new tool for studying financial markets.From the 1990s when China’s stock market was founded, China’s stock market develops fast but the effectiveness is far from developed countries.Previous studies have indicated that China’s stock market is lack of effectiveness.FMH is more suitable to study China’s stock market.But now Chinese scholars who use FMH mainly focus on the motherboard market. There is lack of research on the specific sector. Small board is a part of China’s securities market.lt is not only an important part to rich China’s securities market level, but also an important financing channels for China’s minor enterprises.Small board is different from the motherboard market in many ways. So it is worth to research the effectiveness and structure of small board.This article analyzed the small and medium-sized board and the comprehensive index of small and medium-sized board index which both can represent China’s small board by FMH.The yields distributions of two indexes are not normally distributed, with a significant spike fat tails. JB test and ADF test also shows that two indexes do not follow a random walk process.China’s small board is a fractal market.Meanwhile the Hurst index which is bigger than 0.5 means that there is long-term memory in China’s small board. China’s small board has a 432-day non-periodic cycle judged by the value of R/S and V statistics.