【摘要】 股权分置一直是困扰中国股市的制度性缺陷.通过计算股改前后沪深两市4种指数的Hurst指数和分形维,来比较股改前后市场的混沌分形特征.得出一系列结论:中国股票市场具有混沌分形特征,股改明显加快了丧失初始条件记忆的速度;股改后市场的投资风险有加大的趋势;深市最少需要4个变量来建立市场的动力学方程,而沪市就至少需要5个变量,沪市比深市复杂些;股改后两市分形维有下降趋势,股改有提高市场效率的趋势.这些结论可为研究股权分置改革对中国股市的影响提供一点思路.更多还原

【Abstract】 Equity division as an inherently institutional defect has puzzled China’s stock market for long.Calculating the Hurst indices and fractal dimensions based on 4 price indices of both Shenzhen and Shanghai stock markets,the different fractal/chaos characteristics before and after the equity division reform are compared.The results show that the stock market in China presents a fractal/chaos characteristic and the reform has speeded up the loss of memory of initial conditions.Thus,the investment risk tends to higher after the reform.It is found that the Shenzhen stock market needs 4 variables and the Shanghai stock market needs 5 ones at least to derive their dynamic equation,i.e.,the Shanghai market is more complex in this respect.However,the fractal dimension of both market tend to lower but their efficiencies tend to higher after the reform.These conclusions will provide an idea about exploring the effect of the equity division reform on China’s stock transaction.更多还原