本文运用分形市场理论和方法对中国股市进行实证研究。从实证结果看,我国沪深两市指数和个股收益的周数据及日数据序列均出现了明显的循环周期,时间序列是一个有偏的随机游走过程,今天的股票价格影响未来股价,呈现出比较明显的分形特征。我们的结论是,中国股市尚未达到半强式有效的水平。 This article uses the fractal market theory and method to carry on the empirical research to the Chinese stock market. From the empirical results, the weekly data and daily data series of index and individual stock returns in Shanghai and Shenzhen show obvious cycles. The time series is a biased random walk process. Today’s stock prices affect the future stock prices, presenting A more obvious fractal features. Our conclusion is that the Chinese stock market has not yet reached the semi-effective level.