新冠肺炎疫情影响下我国股票市场的分形特征和风险度量研究  

Analysis of the Multifractal Characteristics and Risk Measuresof China’s Stock Market Affected by COVID-19

作　　者：徐楠 李嵩松[1] 惠晓峰[1] 张英龙 XU Nan;LI Songsong;HUI Xiaofeng;ZHANG Yinglong(School of Management,Harbin Institute of Technology,Harbin 150001,China)

机构地区：[1]哈尔滨工业大学经济与管理学院,黑龙江哈尔滨150001

出　　处：《运筹与管理》2024年第1期138-144,共7页Operations Research and Management Science

基　　金：国家自然科学基金资助项目(71773024);黑龙江省自然科学基金资助项目(G2018006);黑龙江省博士后科研启动金资助项目(LBH-Q18064)。

摘　　要：本文基于多重分形消除趋势波动分析工具(MF-DFA)研究了新冠肺炎疫情对我国股市造成的冲击和影响。研究结果表明:首先,疫情期间,我国多层次股票市场的多重分形结构特征明显增强,市场的复杂程度和风险强度显著提升,市场的有效性也受到严重的削弱;疫情得到有效控制后,风险强度明显下降,市场效率逐步恢复;其次,疫情期间创业板指数较其他板块指数的市场分形强度和风险性低,有效性高,市场整体表现较好,且在整个样本期内,各个板块中的代表性指数均具有时变的多重分形特征;最后,指数收益序列的长记忆性和非正态厚尾分布的共同作用使我国股票市场在疫情期间呈现出较强的多重分形特征。After more than three decades of development,China’s stock market has rapidly grown into a multi-level stock market that includes the main board market,the SME board market and the GEM board market,ranking the second in the world in terms of market size,second only to that in the United States.The stock market,a socio-economic barometer,was the first hit by the sudden outbreak of Newcastle Pneumonia.The U.S.stock market set an all-time record of four meltdowns in nine days in March 2020,and international stock markets also experienced huge shocks as a result.In China,due to the need to deal with the rapid spread of the epidemic,the country adopted a strict quarantine policy against the epidemic.The uncertainty of supply and demand as well as the lack of awareness of the epidemic exacerbated market panic,and this sentiment was quickly transmitted to the stock market,exacerbating abnormal market volatility,making it particularly important to measure the structural characteristics and risk profile of the stock market.Previous research on stock market risk has been more based on the Efficient Market Hypothesis(EMH)and the empirical analysis using simple linear analysis tools.As research continues to progress,anomalies in the financial markets emerge and EMH is constantly challenged because it cannot give a reasonable explanation.As a nonlinear and complex dynamic system,a good performance of multiple fractal analysis method based on Fractal Market Theory(FMT)in analyzing nonlinear non-Gaussian distribution series will provide a more effective metric tool to better measure the changes in market structural characteristics.Therefore,this study uses fractal analysis tools to analyze the structural characteristics of the stock market affected by the epidemic metric,giving new evidence on market structural characteristics and risk measures from a fractal perspective.With intraday 5-minute trading data of the main board,SME and GEM indices:SSE,SZSE,CSI300,SME,and ChiNext are selected from the WIND database.Multifractal de

关 键 词：新冠肺炎疫情 多重分形 市场风险 

分 类 号：F832.5[经济管理—金融学]