The fractal research on several large stock market in China and western country

• Main Authors: QU Bo, OU Rongjun, HE Hui, WANG Xiang, YAN Mengling
• Format: Article
• Language: English
• Published: Academic Journals Center of Shanghai Normal University 2012-10-01
• Series: Journal of Shanghai Normal University (Natural Sciences)
• Subjects: efficient market theory; hurst exponent; R/S analysis; volatility and correlation; normality test
• Online Access: http://qktg.shnu.edu.cn/zrb/shsfqkszrb/ch/reader/create_pdf.aspx?file_no=201205003&year_id=2012&quarter_id=5&falg=1

The R/S method of the fractal theory was used in analysis the most influential stock markets in China ( Shanghai Composite Index-SSEC， the Shenzhen Composite Index-SZCI and Hang Seng Index-HSI in HongKong) and the most impact foreign stock markets ( the Dow Jones， the Nasdaq and the S＆P 500) in recent 10 years ( 2002-2011) stock index to study their differences． The Hurst exponent for the logarithmic rate of monthly return for Chinese stock markets were around 0．74，while the Hurst exponent for the western were around 0．77． The average cycle for Chinese stock markets were around 600 days，while westerns were around 1150 days． The price of the Dow Jones index had a greater influence on the price of SSEC than other markets， and HSI had a greater influence on SSCI than SSEC． Chinese and foreign markets had higher kurtosis than normal distribution， and during the first one or two cycle， the price data presented a right-skewed，peak and fat-tailed distribution characteristics． The data presented a left-skewed，peak and fat-tailed distribution afterwards． At the same time， the foreign data is much closer to normal distribution． This research is a good guidance for stock researcher understanding and studying the foreign stock markets．