%0 Journal Article
%T Nonlinear Characteristics and Fractal Dimension Analysis of Chinese Stock Markets<br>中国证券市场的非线性特征与分形维分析
%A SU Cheng-jian~
%A MIAO Xiao-bo~
%A LIU Xing~
%A <br>宿成建
%J 系统工程理论与实践
%D 2005
%I 
%X Cao's method is employed in this article to make sure the monthly return series of Chinese Stock Market is chaotic but daily return series and weekly return series were found noisy. Thus monthly return series were analyzed using correlation dimension as well as its surrogate data. Apparent difference of correlation dimension from the monthly return series and its surrogate data rejects the null hypothesis that the monthly return series is derived from a linear system, which confirms that the fractal dimension of Chinese Stock Market stems from an inner nonlinear dynamics. It was concluded that Shanghai A Share's efficiency outweighs Shenzheng A Share's and in general B Share's efficiency outweighs A Share's. Shenzheng A Share is most complex (D_2=4.6150) compared with its Shanghai's counterpart (D_2=3.2411). B Share (D_2=3.3195 (Shanghai B); D_2=2.5875 (Shenzheng B)) approaches the stock complexity of Western countries'.
%K nonlinearity
%K chaos
%K return series
%K correlation dimension<br>非线性
%K 混沌
%K 收益率序列
%K 相关维数
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=A50A761248A429AD&yid=2DD7160C83D0ACED&vid=C5154311167311FE&iid=94C357A881DFC066&sid=68D88C2FCF9C3098&eid=B9704B40A4225A24&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=8&reference_num=12