Empirical Study on the Fractal Structure of China Stock Market Based on R/S Analysis

YANG Cheng-yi; WANG Da-peng; LIU Cheng

Volume 25 Issue 1

Jun. 2021

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Article Navigation > Journal of University of Science and Technology Beijing ( Social Sciences Edition) > 2009 > 25(1): 30-33,87

GUO De-xia. On the Relation of Subject and Curriculum Reform[J]. Journal of University of Science and Technology Beijing ( Social Sciences Edition), 2007, 23(3): 129-134.

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YANG Cheng-yi, WANG Da-peng, LIU Cheng. Empirical Study on the Fractal Structure of China Stock Market Based on R/S Analysis[J]. Journal of University of Science and Technology Beijing ( Social Sciences Edition), 2009, 25(1): 30-33,87.

GUO De-xia. On the Relation of Subject and Curriculum Reform[J]. Journal of University of Science and Technology Beijing ( Social Sciences Edition), 2007, 23(3): 129-134.

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Empirical Study on the Fractal Structure of China Stock Market Based on R/S Analysis

University of Science and Technology Beijing, Beijing 100083, China

Received Date: 2008-02-20
Available Online: 2021-06-28

Abstract

Abstract

This paper, taking the daily profitability of China stock market as an example, is an empirical study of the fractal structure of China stock market based on R/S analysys. Through fitting of R/S double logarithmic curve and V statistics, it gets the conclusion that the returns serial in China stock market is not normal distritution and displays fractal structure characteristics. This character provides an empirical study basis for understanding the sustainability and cycle of profitacility in China stock market.
- fractal structure,
- R/S analysis,
- stock market

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