CAJ | 학술논문

应用R／S分析法对中国股票市场实进行实证研究，探究中国股市的自相似性和长程相关性等分形特征；通过计算深圳成指、上证综指及各行业指数每日收益序列所对应Hurst指数及相关统计量，证实中国股市存在分形特征。但沪深两市平均循环周期存在着明显的差异。同时，各行业指数间也存在着明显的差异。
응용R／S분석법대중국고표시장실진행실증연구，탐구중국고시적자상사성화장정상관성등분형특정；통과계산심수성지、상증종지급각행업지수매일수익서렬소대응Hurst지수급상관통계량，증실중국고시존재분형특정。단호심량시평균순배주기존재착명현적차이。동시，각행업지수간야존재착명현적차이。
Based on the R/S Analysis, this paper conducts an empirical research on Chinese stock markets to investigate their fractal characteristics, such as self- similarity and long - range correlation. By the calculation of the Hurst exponent and relative statistics of the daily income rates of Shenzhen Component Index , Shanghai Composite Index as well as industrial indices, we found that there exist fractal characteristics in Chinese stock market and there are distinct differences about the return periods between Shenzhen and Shanghai stock markets. Meanwhile, there also exist obvious differences between industrial indices.