【摘 要】
：
采用Cao方法清楚地观测到中国证券市场的月收益率序列是确定性混沌序列,而日收益率序列和周收益率序列却接近于随机波动信号,不适宜做分形维的研究.对我国股市各指数分别作了
【机 构】
：
汕头大学商学院,成都高新区经贸发展局,重庆大学经济与工商管理学院
论文部分内容阅读
采用Cao方法清楚地观测到中国证券市场的月收益率序列是确定性混沌序列,而日收益率序列和周收益率序列却接近于随机波动信号,不适宜做分形维的研究.对我国股市各指数分别作了分形维计算后,同时用替代数据法进行非线性检验,拒绝了中国股市为线性过程的可能性,从而保证了非线性前提下分维数结果的可靠性.结果显示: 深证A股市场最为复杂,需要五个变量来建立动力学模型(D2＝4.6150),而上证A股需要四个变量来建立模型(D2＝3.2411).因此,深圳股市的效率弱于上海股市.而我国B股市场已经接近于发达国家股市的复杂性程度(D2＝3.3195(上B);D2＝2.5875(深B)),说明B股的效率比A股的效率高.
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