中美股票市场实证对比研究——基于混沌理论的研究视角  

A Comparative Study of China and US Stock Markets ——from Nonlinear Perspective

作　　者：刘超[1,2] 王超[1] 

机构地区：[1]山东财经大学,济南250014 [2]北京大学经济学院,北京100871

出　　处：《哈尔滨商业大学学报（社会科学版）》2014年第1期3-11,共9页Journal of Harbin University of Commerce:Social Science Edition

基　　金：国家自然科学基金项目(61273230);国家社会科学基金项目(11BJY147);教育部人文社会科学研究规划基金项目(10YJA90110);中国博士后科学基金项目(20110490239);山东省自然科学基金项目(ZR2009HL016)

摘　　要：选取道琼斯工业指数和上海证券综合指数收盘价为研究对象,综合运用正态性检验、BDS检验、分形、Hurst指数、关联维检验和李雅普诺夫指数检验等方法实证得知中美股市具有非正态性、分形性、长期记忆性、自相关性和混沌性等非线性特征。通过中美股市的对比研究,得出美国证券市场较我国股市波动性小且更为成熟的结论,因此可以借鉴美股市场成熟发展的经验,采取促使我国股票市场向更高层次的有序态进行演化的政策措施。We select the closing price of Dow Jones Industrial Average Index and the Shanghai Composite Index for research, and take advantage of the BDS test, the fractal Hurst index, the test of the correlation dimension and lyapunov exponent test method comprehensively to empirically obtain that both of the stock market of China and the U. S. possess nonlinear characteristics, including non - normality, fractal, long - term memory, self - correlation and chaotic. Through the comparative study of the stock market, it is concluded that the stock market volatility of U. S. is smaller, which indicates that the stock market of U. S. is more mature. Therefore, we can learn from the stock market of U. S. to promote Chinag stock mar- ket to evolve to a higher level and an orderly state.

关 键 词：中美股市 非线性 分形 混沌 系统科学 

分 类 号：F831.5[经济管理—金融学]