【作者】 吴建；

【导师】 曹家和；

【作者基本信息】 河海大学 ， 国民经济学， 2004， 硕士

【摘要】 资本市场理论发展至今，传统的线性范式正逐渐被非线性范式所取代。实证研究证明以有效市场假说为基础，以线性函数关系为模型的资本市场理论不能很好地揭示资本市场的真正本质。非线性范式认为资本市场的影响因素以及各因素之间相互作用关系复杂，并且投资者个体及群体心理对其影响明显，价格波动符合分形布朗运动，表现出分形和混沌的特征，具有明显的复杂属性。 文章就有效市场假说(EMH)对现实资本市场的解释能力进行了分析，发现我国股票市场的股价收益率序列具有非正态性、自相关性、非线性、异方差性等特点。采用重标极差法(R／S)对我国证券市场分形性进行研究，我国股票收益指数的赫斯特指数均大于0.5，循环周期在200天至400天和股票价格的Lyapunov指数收敛于最大Lyapunov指数。文章给出了股票时间序列的线性模型和股票价格的自回归条件异方差模型(ARCH)，发现GARCH族模型在一定程度上能够描述股价的波动情况。实证分析证明我国股市的信息影响曲线形状于国外相反，文章认为这是因为现阶段我国没有做空机制的缘故。 股价的波动具有复杂性，是因为做出买入和卖出决策的投资者行为具有复杂性，投资者之间相互影响，投资者在进行投资策略的选择时必须考虑市场上其他投资者的行为。更多还原

【Abstract】 Today the nonlinear model is more applicable than linear model. The demonstrations indicate that the capital market theory based on linear model can’t correctly show the essence of security market. The nonlinear model believes that the influence factors are very complicated and the mentalities of the investor influence the price. The fluctuation of the price is fractal brown movement and has the characteristic of fractal and chaos.The article analyses whether the theory of EMH market can explain some phenomena on capital market. We provide some evidence for the non-normal, non-gaussian distribution, auto-correlation, non-linear and heteroskedasticity character of stock price. We test the fractal of our security market by the way of R/S, and compute the Hurst Exponent which is bigger than 0.5, the length of memory is between 200days and 400days and the Lyapunov exponent converge on the biggest Lyapunov exponent. This paper shows the linear model of time sequence and the ARCH model and finds that the GARCH model could describe the fluctuation of price in some degrees. In our country the figure of news impact curves is contrary to other countries because of the short of sell system.The stock price is complicated because the investor has the property of complication. The investor should adopt different investment strategy in different conditions.更多还原