中外几大股票市场差异的分形研

运用了分形理论中的R／S分析法对中国的三大股市（上证，深证和香港的恒生指数）以及欧美的三大股市（道琼斯、纳斯达克以及标普500指数）的近10年（2002～2011）的股票指数作了差别研究．我国股市的月对数收益率的Hurst指数为0．74左右；而国外的则在0．77左右．国内三大股市的平均循环周期在600d左右，而国外三大股市在1150d左右．道琼斯指数对上证指数价格变化影响较大；恒生指数对深证指数的价格波动影响要比上证指数的价格波动影响大．中外股指均具有比正态分布更高的峰度，且在最初的一到两个周期内，数据呈现右偏尖峰后尾的分布特征，之后则呈现左偏尖峰后尾的分布特征．而国外股指的数据分布更接近于正态分布．本研究对股市研究者了解和借鉴近年来国外股市行情有着一定的指导意义．

The fractal research on several large stock market in China and western country

The R/S method of the fractal theory was used in analysis the most influential stock markets in China （Shanghai Composite Index-SSEC, the Shenzhen Composite Index-SZCI and Hang Seng Index-HSI in HongKong） and the most impact foreign stock markets （the Dow Jones, the Nasdaq and the S＆P 500） in recent 10 years （2002-2011 ） stock index to study their differences. The Hurst exponent for the logarithmic rate of monthly return for Chinese stock markets were around 0.74, while the Hurst exponent for the western were around 0.77. The average cycle for Chinese stock markets were around 600 days, while westerns were around 1150 days. The price of the Dow Jones index had a greater influence on the price of SSEC than other markets,and HSI had a greater influence on SSCI than SSEC. Chinese and foreign markets had higher kurtosis than normal distrlbution,and during the first one or two cycle, the price data presented a right-skewed, peak and fat-tailed distribution characteristics. The data presented a left-skewed, peak and fat-tailed distribution afterwards. At the same time, the foreign data is much closer to normal distribution. This research is a good guidance for stock researcher understanding and studying the foreign stock markets.