CAJ | 학술논문

利用MF-DFA方法对上海证券市场日收益率波动进行研究，结果表明上海证券市场具有明显的多重分形特征。但实行涨跌停板制度前后，上海证券市场多重分形的成因不同。实行涨跌停板制度前，上海证券市场多重分形特征仅受长程相关性和胖尾分布这两个因素的影响。而实行涨跌停板制度后。多重分形特征除受长程相关性和胖尾分布这两个因素的影响外，还受其他因素的影响。
이용MF-DFA방법대상해증권시장일수익솔파동진행연구，결과표명상해증권시장구유명현적다중분형특정。단실행창질정판제도전후，상해증권시장다중분형적성인불동。실행창질정판제도전，상해증권시장다중분형특정부수장정상관성화반미분포저량개인소적영향。이실행창질정판제도후。다중분형특정제수장정상관성화반미분포저량개인소적영향외，환수기타인소적영향。
The multiracial characteristic of Shanghai stock market is studied by applying MF--DFA method to analyze the daily index returns time series. The results show that the multifractal characteristic of Shanghai stock market is only affected by the long-term dependence and fat tail distribution before the price limits act in operation, while after the price limits act in operation the multifractal characteristic of Shanghai stock market is also affected by other factors, which indicates that the price limits act has important influence on the multifractal characteristic of Shanghai stock market.