Fractal Analysis Of The Main Board,SEM Board And GEM Board In China

As there are a large number of irrational traders and incomplete policy system in the Chinese stock market,resulting in abnormal fluctuations.In recent years,through the research of the relevant experts and scholars at home and abroad in depth,the fractal theory is more effective than the traditional effective market theory to reveal the volatility of the capital market.Minewhile,it can effectively reveal the inherent laws of the capital market.Therefore,this paper uses the fractal theory to study the volatility characteristics of the three plates of China's stock market that is main board,SEM board and GEM.The research ideas of this paper are as follows:First of all,we conducted a Normality test of the three plate stock index returns and turnover.Secondly,according to these two indicators,we launched a single fractal and multiple fractal analysis.Finally,through the horizontal and vertical dimensions,we had done a comprehensive analysis of the differences between the fractal features of three stock plates.The main conclusions of this study:(1)The daily returns of the three plates show different levels of peak and tail characteristics,compared to SEM and the GEM,the distribution of the main board information is more concentrated,shows that its volatility and volatility is more significant,and the information distribution of the SEM and GEM is relatively uniform.(2)The daily returns of the main board,the SEM and GEM have a significant long-term memory.The GEM's Hurst index is the lowest,so the GEM is relatively less doped noise,that is,the stock has a stronger trend of ups and downs.The Hurst index of the main board is similar to the GEM,and the SEM is the highest,indicating that the trend of continuous ups and downs of SEM price is not obvious.(3)The Chinese stock market is sensitive and dependent on the initial price,follows a biased random process,do not obey the random walk model,has not yet reached a weak form market,is only a fractal market.(4)The multifractal spectrum of the turnover and yield of the three stocks plate in China are all presented to the right hook,which shows that the stock returns and the turnover have multifractal features.Fractal analysis can better reveal the volatility of the three stock plates in China.