洞悉中国股市的波动特征及其时间敏感性--R/S分析方法的理论及其应用

运用R／S分析方法对中国股市进行研究，摒弃了以前多数学者对中国股市的单个指标的片面研究．而是从纵横两个方面研究中国股市．横向表现在选择了中国股市最具有代表性的两个指数——上证综指和深成指数；纵向表现在分别探索了两个指数在5个长短不同的时间增量上的收益率的分形特征及其时间敏感性．最后通过纵横两个方面的比较揭示了中国股市的波动特征。

Discerning the vibration characteristic and its time sensitivity of China stock market --The theory and application of the R/S approach

In this paper, China stock market is analyzed using the R/S approach. The characteristic of this paper is that it isn't a single study on some index of China stock market as some scholars have done, and it analyzes China stock market vertically and horizontally. On the horizontal level, the two representative indexes of China stock market are selected: Shanghai Composite Stock Index and Shenzhen Component Stock Index; and on the vertical level, the fractal characteristic and time sensitivity of the ten index interests are studied according to five different time spans. At the end, according to the contrast of the ten index interests in length and breadth, the vibration characteristic of China stock market is discerned.