海峡两岸三地股票市场的比较研究-金融学专业论文.docxVIP

ABSTRACT Based on the macro-comparasion of the four stock markets on the both sides of Taiwan Straits, we studied the micro-structure of the four markets by fractal analysis. We used the statistic methods to check the validity of the V/S methods, which was put forward by Cajueiro and Tabak recently. The test proved that V/S method is more effective than R/S method. First we used V/S method to calculate the strength of aperiodic cycle for the four markets, which are 302, 313, 186 and 324 trade days for Shanghai, Shenzhen, Hongkong and Taiwan respectively. Then we improved the methods to calculate the Hurst using the strength of aperiodic cycle and we got the Hurst values are 0.528846, 0.540691, 0.4675675 and 0.509361 for Shanghai, Shenzhen, Hongkong and Taiwan respectively throught the improved method. Second we used the Multifractal Detrend Fractal Analysis and Multifractal Spectrum Analysis to study the four markets. The results were that the generalized Hurst index was decreasing while q was increasing and the scaled function was a non- linear function to q. All of those indicated the four markets had multifractal features. And we verified that Shanghai and Shenzhen markets had stronger multifractal features than the other two markets. All the multifractal spectrum figures of the four markets are left-hooked, and the width are 0.11349, 0.26855, 0.13189 and 0.10443 for Shanghai, Shenzhen, Hongkong and Taiwan respectively. Last we established a new index FR to measure risk based on the former reasearch. The FR values of Shanghai, Shenzhen, Hongkong and Taiwan are 0.7833 ×10-4, 2.6422×10-4, -0.8808×10-4 and 0.2248×10-4 respectively. Thus we think that the risk of Taiwan, Shanghai, Hongkong and Shenzhen stock markets is increasing gradually. And we advised the mainland markets to strengthen the supervision, adjust the structure, balance the supply and demand and set a right goal for a better and faster development. KEY WORDS：Fractal Market; Aperiodic Cycle; R/S