分形市场假说在沪深股票市场中的实证研究

首先介绍并分析了有效市场假说的不足，指出不切实际的简化和线性思维范式是导致有效市场假说倍受批评的原因。其次介绍分形市场假说，很好地解决了有效市场假说暴露出的问题，使得对市场的描述更切合实际。最后在沪探股票市场中对分形市场假说进行实证检验，得出沪深两市股指收益率具有时间尺度不变性和大于0.5的Hurst指数，分别为0.69和0.64。表明分形市场假说在两地股市中成立。

Empirical Analysis on Fractal Market Hypothesis in Shanghai and Shenzhen Stock Markets

The weak points of efficient market hypothesis are first analized.It is the simplified unpractical assumptions and linear paradigm that make EMH criticized intensively.Then,the above problems are solved after careful analyses. Finally,empirical tests on the fractal market hypothesis in Shanghai and Shenzhen stock markets are made with the results that the index time in those two markets does not change and their Hurst index is bigger than 0.5,0.69and 0.64,respectively,indicating that hypothesis holds in these two markets.