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Chinese Stock Market’s Model Analysis of the Inner Instability and Its Non-linearity Research

Author: YuXiang
Tutor: ZhangZongCheng
School: Huazhong University of Science and Technology
Course: Finance
Keywords: Efficient Market Hypothesis Stock market Instability Nonlinearity Chaos
CLC: F224
Type: Master's thesis
Year: 2005
Downloads: 189
Quote: 0
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Abstract


Most of the traditional economic theory trying to explain from the the external macroeconomic point of view of the modern financial market instability mechanism give, but the fact that the traditional interpretation of the theory and research methods are increasingly unconvincing. This forces people to give up their traditional way of thinking and research ideas, from the internal point of view, that is to explain the underlying causes of the instability of financial markets in the new situation from the inherent stability of the financial system itself. This article inherent instability of the stock market is defined as the market subject to internal and external shocks and disturbances, sustained unilateral sharply up or down. The stock market's inherent instability is different from the fluctuations in the level of the essential difference is that the stock market should for external shocks interference, self-balancing ability. The first part of this article describes the purpose and significance of the research, as well as research ideas and innovations. The second part of the article first summarizes the traditional efficient market theory, the presentation of the operating mechanism of the stock market, then pointed out the difficulties encountered by traditional theories explain the reality of the stock market, at the same time pointed out that the stock market instability as a result of internal factors to explain domestic and international non-line sexual research. The third part of the article the use of computer simple technology to simulate the nonlinear nature of the stock market. The fourth part of the stock market model by building from three different angles of the simple OGM model, the general the OGM model as well as random model, introduced affect the stock market stable internal economic variables, an attempt to construct the market instability theory to the analysis of the stock market whether the inherent instability mechanism; stock market, the existence of self-induced chaotic behavior; government role in the cause of instability in the stock market; state-owned shares is the root cause of the stock market crash, or other reasons. Tear down the computer simulation and modeling results show that China's stock market is indeed a self-induced chaotic behavior, its own inherent instability, the root cause of state-owned shares is not caused by the stock market crash, but the trigger caused the stock market fell sharply impetus . The fifth part of this article attempts from nonlinearity Empirical Analysis of China's stock market: China's stock market is a nonlinear system; nonlinear internal mechanism of market instability. Random normal curve fitting analysis revealed that China's stock market index is not subject to the random normal distribution assumption, with fractal distribution of fat tail characteristics, shows that the index return series may be generated in nonlinear dynamic systems. Rescaled range analysis shows that China's stock market has a long-term memory, the system there is a chaotic characteristics for nonlinear systems.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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