ꆡ뗚25뻭뗚5웚믝훝톧풺톧놨(짧믡뿆톧냦)Vol1251No152005쓪10퓂JOURNALOFHUIZHOUUNIVERSITYOct12005럖탎쫐뎡볙쮵벰웤뛔뮦쫐뗄쪵횤럖컶킻뫨량(믝훝톧풺ꆡ뺭볃맜샭쾵,맣뚫ꆡ믝훝ꆡ516007)햪ꆡ튪:춨맽뛔짏횤ퟛ뫏횸쫽ퟶ럖탎볬퇩뫍웤뛔쫽쫕틦싊ퟶ헽첬럖늼볬퇩뗃돶뫕쮹쳘횸쫽캪H=,뇭쏷뮦쫐뻟폐쏷쿔뗄돖뻃탔뫍쟷쫆탔뛸늻쫇쯦믺폎ퟟ,뻟폐럖탎뷡릹ꆣ욽뻹톭뮷훜웚N=60훜,헢뇭쏷뮦쫐폐뷏잿뗄뛌웚탐캪쒣쪽,럧쿕뷏듳ꆣ뛔쫽쫕틦싊늻럻뫏헽첬럖늼뛸쫇볢럥엖캲뗄,룹뻝쪵횤뷡맻뿉틔뻜뻸폐킧쫐뎡볙쮵뛸횧돖럖탎쫐뎡볙쮵ꆣ맘볼듊:럖탎쫐뎡볙쮵;R/S럖컶;뫕쮹쳘횸쫽;럖탎캬훐춼럖샠뫅:ꆡꆡ컄쿗뇪쪶싫:Aꆡꆡ컄헂뇠뫅:1671-5934(2005)05-0018-07ꆡꆡ1ꆡ폐킧쫐뎡볙쮵(EMH)폫럖탎쫐뎡웤헽좷탔쳡돶쇋훊틉늢듓훐늻뛏뗘펿쿖돶튻킩쇮죋볙쮵뛺쒿튻탂뗄탂볙쮵뫍탂샭싛ꆣ웤훐뇋뗃쮹(Peters,(FMH)1994\[1\)ꆡ쳡]돶쇋럖탎쫐뎡볙쮵(FMH),폫뒫춳뗄ꆡꆡ쿖듺뷰죚뺭볃톧쫜얣뛙뺭뗤컯샭톧뗄펰쿬,튻폐킧쫐뎡샭싛쿠뇈,폃럖탎샭싛살퇐뺿놾쫐뎡뗄횱캪쿟탔랶쪽쯹훷퓗ꆣ헽쫇믹폚쿟탔랶쪽뗄쮼캬,퓋탐맦싉,룼럻뫏놾쫐뎡쪵볊퓋뚯맦싉,늢쟒퓚닺짺쇋폐킧쫐뎡볙쮵(EMH),EMH볙뚨춶헟쫇쪵횤훐튲뗃떽쫽뻝뗄횧돖ꆣ샭탔뗄ꆢ폐훈탲뗄뫍폐쳵샭뗄,쫇튻룶냑쫽톧풼뮯FMH뻟폐룺EMH췪좫늻춬뗄죧쿂쮼쿫:(1)떽볲떥쿟탔캢럖랽돌뗄폐맘춶탐캪뗄쒣탍ꆣ죏캪뎤웚쿠맘뫍쟷쫆,틲캪쫐뎡듦퓚늻춬뗄춶쪱볤돟쿠뛔폚쎿튻룶ퟷ폃뚼폐튻룶폫횮돉뇈샽뗄랴ퟷ폃,뛈,볛룱늻쓜랴펦돶쯹폐뿉쓜뗄탅쾢,쯹틔볛룱뗄틲듋쫐뎡ퟜ쫇뒦폚뻹뫢ힴ첬,볛룱뗄늨뚯쫇틔쯦믺뇤뮯쫜샺쪷탅쾢뗄펰쿬,뻟폐랴삡킧펦ꆣ볛룱뇤뚯폎ퟟ뗄랽쪽늨뚯뗄ꆣ튻킩훘튪뗄뷰죚샭싛뇈죧쿖듺늻쫇뛀솢뗄,틲듋늻ퟱ톭쯦믺폎ퟟ,쫕틦싊튲늻럾닺ퟩ뫏샭싛(MPT)ꆢ놾닺뚨볛쒣탍듓헽첬럖늼,뻟폐볢럥뫍엖캲ꆣ(2)쒳킩쳵볾쿂뫍(CAPM)ꆢ쳗샻뚨볛샭싛(APT)ꆢ웚좨뚨볛쒣탍쒳킩쪱뿌뗄컞맦퓲쫐뎡,죧맻뎤쿟춶헟춣횹붻틗(OPM)ꆢퟔ믘맩쳵볾틬랽닮쒣탍(ARCH)뚼놣쇴믲놾짭뇤돉뛌쿟춶헟,뛌쿟춶헟뗄좺쳥킧펦쇋쫐뎡폐킧탔볙짨ꆣ틲듋,폐킧쫐뎡볙쮵(EMH)떼훂볛룱뇤뮯뻧쇒,뿉쓜돶쿖믬쿖쿳ꆣ헢킩쳵볾놻뾴ퟷ쫇떱뷱쫽솿뮯놾쫐뎡샭싛뗄훷튪믹쪯ꆣ벴캪럇쿟탔뚯솦톧훐틽웰믬뗄쇙뷧쮮욽;(3)헽쫇틲캪폐킧쫐뎡볙쮵튻횱놻뾴ퟷ쫇떱뷱쫽솿놾쫐뎡쫇풶샫뻹뫢쳵볾뗄,쯼쪵볊짏쫇퓚럇훜웚탔뮯놾쫐뎡샭싛뗄훷튪믹쪯,쯹틔쫜떽뇈죎뫎튻훖뗄훈탲횮짏뗾볓쯦믺퓫짹;(4)좫뻖폐탲뫍뻖늿뗄컞뺭볃샭싛뚼튪맣랺뗄쪵횤볬퇩,폐듳솿뺭퇩쫽뻝뛔탲쪹뛌웚풤닢쫇뿉쓜뗄,떫뎤웚풤닢늻뿉뾿,풤닢뗄쫕룥죕웚:2005-04-06ퟷ헟볲뷩:킻뫨량(1977-),쓐,붭컷탋맺죋,쮶쪿,믝훝톧풺뺭맜쾵뷌쪦ꆣ' 1994-2007 China Academic Journal Electronic Publishing House. All rights reserved.
ꆡ뗚5웚킻뫨량:럖탎쫐뎡볙쮵벰웤뛔뮦쫐뗄쪵횤럖컶ꆤ19ꆤ쪱볤풽뎤뻍풽늻뿉뾿ꆣ솽헟볲쏷뗄뇈뷏볻뇭1ꆣ뇭1ꆡ럖탎쫐뎡샭싛폫폐킧쫐뎡샭싛뗄뇈뷏\[2\]럖탎쫐뎡샭싛폫폐킧쫐뎡샭싛뗄뇈뷏폐킧쫐뎡샭싛럖탎쫐뎡샭싛쫐뎡쳘탔쿟탔ꆢ맂솢쾵춳럇쿟탔ꆢ뾪럅ꆢ뫄즢쾵춳뻹뫢ힴ첬뻹ꆡ뫢퓊탭럇뻹뫢쾵춳뢴퓓탔볲떥쾵춳뻟폐럖탎믬뗈쳘탔뗄뢴퓓쾵춳랴삡믺훆컞랴삡헽랴삡뛔탅쾢뗄랴펦쿟탔틲맻맘쾵럇쿟탔틲맻맘쾵쫕틦탲쇐냗퓫틴ꆢ늻쿠맘럖쫽퓫짹ꆡ뎤볇틤(뛔돵쪼횵쏴룐)볛룱탲쇐늼샊퓋뚯(H=015)럖쫽늼샊퓋뚯(Hꇊ\[015,1))뿉풤닢탔늻뿉풤닢쳡릩쇋튻룶풤닢뗄탂랽램늨뚯폐탲탔컞탲폐탲폐킧쫐뎡쫇럖탎쫐뎡뗄튻룶쳘샽솽헟횮볤뗄맘쾵럖탎쫐뎡췘햹쇋폐킧쫐뎡뗄몬틥럖탎쫐뎡샭싛룼맣랺뗘ꆢힼ좷뗘뿌뮭쫐뎡ꆡꆡ2ꆡ뫕쮹쳘횸쫽뫍R/S랽램X(A,t)=ꇆt(XN(a-1)+i-Ma)ꆡꆡt=1,i=1뫕쮹쳘2,ꆭ,N(211)(Hurst)횸쫽쫇튻룶퓚믬뫍럖탎톧뿆훐에뛏쪱볤탲쇐믬탔뫍돉좺탔뗄춳볆닎쫽ꆣ쯼웤훐,X(A,t)캪뗚A룶쟸볤뗄샛믽샫닮,쫇펢맺쮮샻볒HXN(a-1)+i캪쟸볤A뗄뗚i룶맛닢횵,Ma캪쟸볤퓚20쫀볍훐튶쳡돶뗄튻훖에뇰쪱볤탲쇐쫇럱뛔폚쪱볤폐틀삵뗄닎쫽ꆣ뗄욽뻹횵ꆣ뛔쎿튻룶ퟓ쟸볤,뿉뗃떽N룶샛믽샫쯻춨맽뾼달뫓쇷뗄랺샄웚뫍뿝쮮웚랢쿖헢훖쪱웚췹닮,헢N룶벫닮훐뗄ퟮ듳횵뫍ퟮ킡횵횮볤뗄닮뻍췹돖탸벸쓪ꆣ헢뻍늻춬폚틔췹샭싛짏죏캪쎿쓪쮮쇷쫇벫닮R:솿쫇뛀솢춬럖늼뗄룟쮹뇤솿,튲늻춬폚뒫춳뗄십뛻R=Max(X(A,t))-Min(X(A,t))뿉럲솴뗄볙짨ꆣ퓚듳솿쪵횤퇐뺿뗄믹뒡짏쳡돶쇋훘(212)뇪벫닮R/S(RescaledRange)럖컶램,쯻닉폃쇋튻캪뇈뷏늻춬샠탍뗄쪱볤탲쇐,뫕쮹쳘폃풭살뗄룶뫕쮹쳘닎쫽살럖컶헢훖쪱볤탲쇐뗄벯좺쿖쿳,뿉맛닢횵뗄뇪ힼ닮S좥돽벫닮,헢룶ꆰ훘뇪벫닮ꆱ펦폐킧뗘뗃돶쾵춳뇤솿쪱볤탲쇐뻟폐럖탎뷡릹뫍쿠맘룃쯦쪱볤퓶볓,뫕쮹쳘붨솢쇋틔쿂맘쾵:돖뻃탔RH/S=(bN)(213),늢뿉맀쯣쾵춳뗄돵쪼탅쾢췪좫뚪쪧뗄쪱볤뗄뎤뛈,벴쾵춳퇝뮯욽뻹맬뗀훜웚ꆣ볆쯣룃닎쫽뗄춨맽뛔짏쪽솽뇟좡뛔쫽,컒쏇뗃떽:쫇R/S램,웤믹놾쮼슷쫇\[3\]:Lon(R/S)=HLog(N)+HLog(b)뛔폚튻룶쪱볤탲쇐X(214)1,냑쯼럖캪A룶뎤뛈N뗄뗈뎤ퟓ쟸볤,뛔폚쎿튻룶ퟓ쟸볤,쇮:쿖퓚뛔폚캴살뗄펰쿬뿉틔뇭쿖캪튻훖쿠맘탔:C=(22H-1)(215)' 1994-2007 China Academic Journal Electronic Publishing House. All rights reserved.
ꆤ20ꆤ믝훝톧풺톧놨(짧믡뿆톧냦)2005쓪뗚25뻭웤훐:C=쿠맘탔뛈솿ꆡꆡH=뫕쮹쳘횸쫽춨맽log(R/S)맘폚log(N)춼,뮹뿉틔뫜죝틗뗘쪱볤탲쇐뗄럖탎캬D뛈솿웤늨뚯뗄뻧쇒돌뛈맛달돶뫕쮹쳘횸쫽퓚뫎뒦랢짺춻뇤,춻뇤횮뒦쯹뛔믲헟닎닮늻웫탔:펦뗄N벴쾵춳뗄돵쪼쳵볾탅쾢췪좫뚪쪧뗄쪱볤뗄D=2-H(216)뎤뛈,벴쾵춳뗄욽뻹맬뗀훜웚ꆣ쇭췢뫕쮹쳘횸쫽H튻쳵횱쿟뫍욽쏦뗄뗄럖탎캬럖뇰쫇l뫍2,쯦횵뮹쓜뫢솿튻룶쪱볤탲쇐쫽뻝뗄닎닮늻웫돌뛈,H믺폎ퟟ뗄럖탎캬뷩폚뛾헟횮볤,캪115ꆣ015<Hꇜ횵풽룟,쪱볤탲쇐퓲쿔쪾룼짙뗄퓫짹,뻟폐룼잿뗄110뗄횵믡닺짺튻룶룼뷓뷼튻쳵쿟뗄럖탎캬ꆣ튲뻍돖뻃탔뫍룼쟥돾뗄쟷쫆탔,죧맻듓쫕틦싊뗄뷇뛈살쫇쮵,뫕쮹쳘쫵폯훐뗄돖뻃탔쪱볤탲쇐믡떼훂튻쳵뾴,룟H횵뗄쪱볤탲쇐럧쿕튲풽뗍ꆣ뇈쯦믺폎ퟟ룼맢뮬ꆢ룼짙닎닮늻웫뗄쿟,H뗄랴돖뇋뗃쮹\[1\]\[3(Peters)캪\]쇋횤쏷놾쫐뎡뗄믬뻃탔뗄횵(0<H<015)믡떼훂튻룶룼룟뗄럖탎캬뫍럖탎쿖쿳뗄듦퓚,샻폃S&P500횸쫽1928쓪1퓂뫍튻쳵뇈쯦믺폎ퟟ룼닎닮늻웫뗄쿟,벴튻룶폐룼뛠떽1989쓪12퓂뗄컥쳬쫕틦싊뗄춳볆럖늼뫍뇪ힼ뗄뗄쓦뗄쾵춳ꆣ헽첬럖늼뷸탐뇈뷏,랢쿖쫕틦싊뗄춳볆럖늼쿠뇈헽R/S뇭쪾훘뇪벫닮,N캪쟸볤뎤뛈,b캪쒳튻첬럖늼뛸퇔뻟폐ꆰ볢럥엖캲ꆱ뗄쳘탔ꆣ늢쟒뗃떽H뎣쫽,H캪뫕쮹쳘횸쫽,쟒0ꇜHꇜ1ꆣ뛔쎿룶ퟓ쟸=0178,N=48룶퓂ꆣ뛔폚S&P500횸쫽뛸퇔쏷쿔볤볆쯣돶R/S,뿉뗃A룶R/S,쟳돶헢A룶R/S뗄뿉틔뻜뻸EMH늢뷓쫜FMHꆣ퓚컒맺,뷼쓪살샭싛욽뻹횵,뿉뗃돶폃N살뗈럖쪱볤탲쇐쿂뗄R/S맀뷧뛔컒맺횤좯쫐뎡횸쫽쫕틦싊뗄럇쿟탔쳘헷튲뷸탐볆횵,폃늻춬뎣쫽N살뗈럖,뻍뿉뗃떽늻춬뗄R/쇋쪵횤퇐뺿ꆣ탬쇺뇾ꆢ슽죘(1999\[4\])뛔컒맺횤좯S,뛔짏쪽뿉틔폃ퟮ킡뛾돋램쓢뫏쟳뗃Hurst횸쫽,쫐뎡1998쓪10퓂틔잰뗄ퟛ뫏횸쫽퓋폃R/S랽램볆뿉ퟷ돶:log(R/S)-log(N)몯쫽맘쾵춼,웤훐쯣,뗃돶짏횤횸쫽뗄H횵캪ꆢ짮횤횸쫽뗄log(R/S)쿠뛔폚log(N)뗄킱싊벴캪뫕쮹쳘횸쫽H횵캪01643,춬퇹뻟폐ힴ첬돖탸탔뗄럇쿟탔쳘헷ꆣHꆣ뫕쮹쳘횸쫽뿉뫢솿튻룶쪱볤탲쇐쫇럱뻟폐럖탎쪷폀뚫\[5\]ꆢ헅캬ꆢ믆탋\[6\]ꆢ퇮튻컄ꆢ쇵맳훒\[7\]ꆢ췵뷡릹뫍쿠맘돖뻃탔ꆣ떱H뗈폚015쪱,쪱볤탲쇐뻍쏷쳎\[8\뗈]럖뇰뛔뮦짮솽쫐막볛횸쫽뗄죕ꆢ훜ꆢ퓂쫕쫇뇪ힼ뗄쯦믺폎ퟟ,늻춬쪱볤뗄횵쫇뛀솢뗄,쫕틦틦싊뷸탐쇋퇐뺿,뷡맻뇭쏷훐맺막욱쫐뎡볛룱횸쫽싊돊헽첬럖늼,헢튲뻍쫇폐킧쫐뎡볙뚨쿂돶쿖뗄ힴ뻟폐뷏쏷쿔뗄럖탎뷡릹,탲쇐뇭쿖돶쿔훸뗄쿠맘탔첬ꆣ떱H늻뗈폚015쪱,맛닢뻍늻쫇뛀솢뗄,쎿튻뫍돖뻃탔,죏캪샻폃막횸탲쇐뗄헽쿠맘탔,뛌웚풤룶맛닢뚼듸ퟅ퓚쯼횮잰랢짺뗄쯹폐쫂볾뗄ꆰ볇틤ꆱꆣ닢쫇폐뿉쓜뗄,쯻쏇샻폃쫐뎡뗄헢훖럖탎뷡릹뛔짏헢늻쫇욽뎣놻뷐ퟶꆰ십뛻뿉럲탍ꆱ뗄뛌웚볇틤ꆣ헢횤횸쫽ퟷ쇋10늽풤닢,쫕떽쇋뇈뷏뫃뗄킧맻ꆣ훖볇틤쫇늻춬뗄:쯼쫇뎤웚뗄,샭싛짏쯼쫇폀풶퇓탸뗄ꆣ뷼웚쫂볾뗄펰쿬뇈풶웚듳,떫쫇닐쇴펰쿬ퟜꆡꆡ3ꆡ뛔짏몣횤좯쫐뎡뗄럖탎볬퇩쫇듦퓚뗄ꆣ퓚룼뿭랺뗄돟뛈짏,튻룶뇭쿖돶뫕쮹쳘ꆡꆡ311ꆡ뛔ퟛ뫏횸쫽뗄럖탎볬퇩ꆪꆪꆪR/S춳볆쳘탔뗄쾵춳쫇튻뎤뒮쿠뮥솪쾵뗄쫂볾뗄뷡맻ꆣ(RescaledRange)럖컶뷱쳬랢짺뗄쫂볾펰쿬캴살,뷱쳬컒쏇쯹뒦뗄뗘캻쫇ꆡꆡ31111ꆡ쫽뻝폫퇹놾맽좥컒쏇쯹퓸뒦뗄뗘캻뗄튻룶뷡맻ꆣ쪱볤쫇훘튪평폚뮦쫐폫짮쫐듦퓚벫잿뗄쿠맘탔,쯹틔놾컄뗄,뻍쿳튻뿩싑쪯실죫쮮훐,뷱쳬뗄쫂볾퓚쪱볤훐뷶뛔뮦쫐ퟷ쪵횤럖컶ꆣ놾퇐뺿쯹쪹폃뗄쫽뻝캪짏횤쿳솰쓇퇹쿲잰삩즢ꆣ솰훰붥복죵,횱훁퓚쪵볊ퟛ뫏횸쫽,쯹톡폃뗄짏횤ퟛ뫏횸쫽쫇듓1991쓪7짏쿻쪧ꆣ퓂15죕떽2004쓪3퓂9죕뗄훜쫕엌볛릲635룶퇹뺭맽볆쯣,뺭퇩뇭쏷,폃R/S램맀볆뗄Hurst놾ꆣ볆쯣릤뻟쫇Excel뫍SPSS죭볾ꆣ퓚맀볆뫍믘맩횸쫽튻냣믡뇈샭싛횵(H=015)욫룟ꆣ뛸쟒쪱볤맽돌훐,놾컄쪹폃막욱뗄뛔쫽쫕틦싊ꆣ뛔폚R/S탲쇐풽뎤,맀볆뗄뺫뛈튲풽룟,쫕틦싊늻퓙돊헽첬럖컶뛸퇔,뛔쫽쫕틦싊뇈볛룱냙럖뇈뇤뮯룼캪쫊럖늼,쪱볤탲쇐룷룶맛닢횵횮볤늻쫇뮥쿠뛀솢뗄,폃,R/S럖컶훐뗄벫닮쫇뛔폚욽뻹횵뗄샛믽샫닮,뫳쏦뗄맛닢횵뚼듸ퟅ퓚쯼횮잰뗄맛닢횵뗄ꆰ볇틤ꆱꆣ뛔쫽쫕틦싊볓웰살뗈폚샛믽쫕틦싊,뛸냙럖뇈뇤뮯' 1994-2007 China Academic Journal Electronic Publishing House. All rights reserved.
ꆡ뗚5웚킻뫨량:럖탎쫐뎡볙쮵벰웤뛔뮦쫐뗄쪵횤럖컶ꆤ21ꆤ좴늻쫇ꆣ맽돌쫇랢즢뗄ꆣ쟺쿟평짏짽캪뎣쫽믲쿂붵뗄럖뷧31112ꆡ볬퇩뷡맻뗣벴캪탲쇐ꆰ뎤웚볇틤ꆱ뗄쿻쪧뗣ꆣ샻폃잰쏦닻쫶뗄늽훨뛔뮦쫐뗄ퟛ뫏횸쫽훜쫕틦듓춼1훐쏷쿔뿉틔뾴돶V춳볆솿퓚N=60(60싊탲쇐볆쯣(R/S)N뫍V춳볆솿늢ퟶ믘맩럖컶,훜벴듳풼300쳬)쪱춣횹퓶뎤,N=60벴캪럖뷧뷡맻볻뇭2ꆣ뗣ꆣ춬쪱춼2튲뿉틔뾴돶N=60횮뫳뗄킱싊벴H춼1쫇짏횤ퟛ뫏횸쫽훜쫕틦싊탲쇐V춳볆솿횵캪01529,듋뒦틑뺭쫇뛔돵쪼볇틤뗄쿻쪧뗣쇋ꆣ쿠뛔폚Log(N)뗄쟺쿟1캪쇋뾴돶쪲쎴쪱뫲Log/듋뫳쫇럻뫏H=015뗄쯦믺폎ퟟ쪱볤탲쇐쇋ꆣ틲Log뇪믦춼샯뗄뛏뗣돶쿖,늢쟒뷏뫃뗘맀볆톭뮷뎤듋,놾컄뛔폚4ꇜNꇜ60(R/S)N뗄횵뷸탐믘맩살뛈ꆣHurst(1951)룸돶쇋V춳볆솿:맀볆H,뷡맻볻뇭2-1ꆣ듓믘맩뷡맻횪뗀,H=Vn=(R/S)n/n(311)01641(ꇀ01007)ꆣ룹뻝H횵뿉틔뗃돶럖탎캬D=볙죧R/S춳볆쫇틀쪱볤뗄랽룹뛸맦쒣뇤뮯,11359,C=01216ꆣ뷏룟뗄R2(01996)ꆢ뷏룟뗄F횵헢튻뇈싊붫떼훂튻쳵쮮욽쿟ꆣ뮻뻤뮰쮵,볙죧맽돌(73241400)ꆢ벫뗍뗄P횵뇭쏷믘맩뗄쓢뫏돌뛈쿠떱쫇뛀솢뗄,쯦믺뗄,헫뛔Log(N)뗄V뇪믦춼붫뫃ꆣ룟뛈뗄쿠맘탔(C=2116%)뫍H뗄룟횵쿔쪾쫇욽뗄ꆣ쇭튻랽쏦,볙죧맽돌쫇돖탸뗄,뛸쟒R/S돶짏몣막욱쫐뎡뻟폐럖탎뷡릹뫍뷏잿뗄돖뻃탔,쯼틔뿬폚쪱볤랽룹(H>0150)뗄뇈싊맦쒣뇤뮯,쓇늻쫇쯦믺폎ퟟ맽돌,뛸쫇룶폐욫뗄쯦믺폎ퟟ맽돌ꆣ쎴춼탎붫쿲짏쟣킱ꆣ쿠랴,볙죧맽돌쫇랴돖탸뗄떱N>60쪱,뛔폚(R/S)N뗄믘맩뷡맻튲쇐(H<0150),쓇쎴춼탎붫쫇쿲쿂쟣킱뗄ꆣ춨맽퓚y폚뇭2-2훐,듓뇭훐뿉틔뾴돶듋쪱H=01529,뷓훡짏뗄V뫍x훡짏뗄Log(N)뗄뇪믦,헢킩뛏뗣뷼폚H=015뗄쯦믺폎ퟟ맽돌ꆣ헢뇭쏷탲쇐훐럇훜붫돶쿖,듋쪱V춼햹욽ꆣ퓚쓇킩뗣짏,뎤웚볇틤웚돉럖듦퓚,틲듋60훜(N=60)뗄톭뮷붫쫇럇훜웚뗄ꆣ뇭2ꆡ뮦쫐ퟛ뫏횸쫽훜쫕틦싊탲쇐뗄(R/S)N횵뗄믘맩뷡맻뇭2-1ꆡ떱4ꇜNꇜ60쪱뗄믘맩-02ꆡꆡꆡꆡ:(Constant),ꆡ(Constant)-11501009-15197910001998X164110078515831000ꆡꆡꆡꆡ:Y' 1994-2007 China Academic Journal Electronic Publishing House. All rights reserved.
ꆤ22ꆤ믝훝톧풺톧놨(짧믡뿆톧냦)2005쓪뗚25뻭뇭2-2ꆡ떱60<Nꇜ300쪱뗄믘맩-02ꆡꆡꆡꆡ:(Constant),ꆡ(Constant)21941E-021073140116981982X152910341516281000ꆡꆡꆡꆡ:Y춼1ꆡ짏횤ퟛ뫏횸쫽V춳볆솿탲쇐춼춼2ꆡ떱4ꇜNꇜ300뗄즢뗣춼틔벰믘맩쿟ꆡꆡ312ꆡ뛔짏횤ퟛ뫏횸쫽뗄뛔쫽쫕틦싊뗄헽첬럖튪뇈뇪ힼ헽첬럖늼럥룟;죧맻럥뛈킡폚3,뇤솿횵늼볬퇩럖늼튪뇈뇪ힼ헽첬럖늼럥뗍ꆣ헢샯뗄럥뛈횵쫇ꆡꆡ뛔짏횤ퟛ뫏횸쫽뗄뛔쫽쫕틦싊ퟶ욵쫽럖컶,뷡501063,풶풶듳폚3ꆣ듓뇭4튲뿉틔뾴돶Kolmogorov맻퓚뇭3뫍춼3ꆣ죧맻퇹놾럻뫏헽첬럖늼,쓇쎴욫-Smirnov떥퇹놾볬퇩뗄P뗈폚벫킡횵,풶킡폚뛈횵(Skewness)펦룃캪0ꆣퟳ욫쪱쫇헽쫽,퇹놾0105,뿉틔럱뚨볙짨,춼4훐짏횤ퟛ뫏횸쫽뛔쫽쫕뗄럖늼뻟폐튻룶뷏뎤뗄폒캲;폒욫쪱캪뢺쫽,퇹놾틦싊뗄P-P룅싊춼늻쫇튻쳵횱쿟,뿉틔뗃돶짏횤뗄럖늼뻟폐튻룶뷏뎤뗄ퟳ캲ꆣ죧맻듋횵쏷쿔욫샫ퟛ뫏횸쫽뗄뛔쫽쫕틦싊늻쫇럻뫏헽첬럖늼뗄,쯼쫇0,쓇쎴퇹놾뿏뚨늻럻뫏헽첬럖늼ꆣ뛸헢샯뗄욫뛈볢럥엖캲뗄,뿉틔죏캪짏횤ퟛ뫏횸쫽뗄뛔쫽쫕틦싊횵쫇41085,풶듳폚0쇋ꆣ뇪ힼ헽첬럖늼뗄럥뛈횵튲쫇럻뫏럖탎럖늼뗄ꆣ(Kurtosis)캪3,죧맻럥뛈횵듳폚3,뇤솿횵뗄럖늼' 1994-2007 China Academic Journal Electronic Publishing House. All rights reserved.
ꆡ뗚5웚킻뫨량:럖탎쫐뎡볙쮵벰웤뛔뮦쫐뗄쪵횤럖컶ꆤ23ꆤꆡꆡ313ꆡ뷡싛틲캪럇훜웚톭뮷쫇럇쿟탔뚯솦쾵춳뗄쳘헷,쯹틔늢R/S럖컶쿔쪾:뮦쫐뗄뫕쮹쳘횸쫽캪H=늻쓜볲떥횱뷓뗘폃폚풤닢ꆣ춬쪱춨맽뛔짏횤ퟛ뫏횸01641,뷏룟뗄H횵뫍F횵뇭쏷뮦쫐뻟폐쏷쿔뗄돖쫽뗄뛔쫽쫕틦싊ퟶ헽첬럖늼볬퇩뿉틔뗃돶짏횤ퟛ뫏뻃탔,춬쪱N=60훜튲뇭쏷훐맺막욱쫐뎡폐튻룶횸쫽뗄뛔쫽쫕틦싊늻쫇럻뫏헽첬럖늼뗄,쯼쫇볢럥뷏잿뛌웚탐캪쒣쪽(뛔뇈S&P500횸쫽뗄N=48룶엖캲뗄ꆣ퓂),듓뛸뻟폐룼듳뗄럧쿕ꆣH>015뇭쏷,쯼쫇튻틔짏뗄볬퇩뷡맻쮵쏷뮦쫐짐캴듯떽폐킧뗄돌룶룼뎤뗄볇틤몯쫽:탅쾢퓚뫜뎤뗄쪱볤쓚펰쿬캴뛈ꆣ뮦쫐쫕틦싊쫇폐럖탎럖늼뗄돖뻃탔쪱볤탲쇐,살ꆣ펰쿬쯦쪱볤쮥복,떫웤쯙싊뇈뛌웚틀삵튪싽ꆣ쯼쏇ퟱ톭폐욫뗄쯦믺폎ퟟ,쫐뎡뇭쿖돶쟷쫆퓶잿탐틲듋,톭뮷뎤뛈뗄뛈솿듓춳볆톧짏살붲,쯼쫇탲쇐캪,뛸늻쫇뻹횵믘뢴탐캪ꆣ평폚쾵춳쫇돖뻃뗄,쯼쿠맘뗄쿻돽쪱볤ꆣ폃럇쿟탔뚯솦톧뗄쫵폯쮵,돵쪼폐톭뮷뫍쟷쫆,뮦쫐뗄욽뻹톭뮷뎤뛈쫇60훜,헢쳵볾뗄볇틤퓚듳풼60룶훜횮뫳쿻쪧,탨튪힢틢뗄룶뎤뛈쫇욽뻹횵,틲캪쾵춳쫇럇훜웚탔뗄뫍럖탎쫇60훜뗄톭뮷쫇튻룶욽뻹톭뮷,벴횻쫇춳볆톭뮷ꆣ뗄ꆣ놾컄쓜폐냑컕뻜뻸뷓쫜폐킧쫐뎡볙쮵ꆣ뇭3ꆡ짏횤ퟛ뫏횸쫽뗄뛔쫽쫕틦싊뗄춳볆뇭뇭4ꆡ짏횤ퟛ뫏횸쫽뛔쫽쫕틦싊뗄Kolmogorov-Smirnov떥퇹놾볬퇩춼3ꆡ짏횤ퟛ뫏횸쫽뗄뛔쫽쫕틦싊뗄횱랽춼춼4ꆡ짏횤ퟛ뫏횸쫽뛔쫽쫕틦싊뗄P-P룅싊춼' 1994-2007 China Academic Journal Electronic Publishing House. All rights reserved.
ꆤ24ꆤ믝훝톧풺톧놨(짧믡뿆톧냦)2005쓪뗚25뻭닎뾼컄쿗:\[5\]쪷폀뚫.짏몣횤좯쫐뎡뗄럖탎뷡릹\[J\].풤닢,2000,\[1\]낣뗃볓ꆤEꆤ뇋뗃쮹.췵킡뚫틫.놾쫐뎡뗄믬폫훈탲(5):78-81.\[M\].놱뺩:뺭볃뿆톧돶냦짧,1999,(3).\[6\]헅캬,믆탋.뮦짮막쫐뗄R/S쪵횤럖컶\[J\].쾵춳릤\[2\]랮훇,헅쫀펢.뷰죚쫐뎡뗄킧싊폫럖탎쫐뎡샭싛\[J\].돌,2001,(1):1-5.쾵춳릤돌샭싛폫쪵볹,2002,(3):13-20.\[7\]퇮튻컄,쇵맳훒.럖탎쫐뎡볙쮵퓚뮦짮막욱쫐뎡훐뗄\[3\]낣뗃볓ꆤEꆤ뇋뗃쮹.뒢몣쇖,틳쟚틫.럖탎쫐뎡럖컶ꆪ쪵횤퇐뺿\[J\].떱듺뺭볃뿆톧,2002,(1):75-79.붫믬샭싛펦폃떽춶폫뺭볃샭싛짏\[M\].놱뺩:뺭\[8\]췵쏷쳎.믹폚R/S램럖컶훐맺막욱쫐뎡뗄럇쿟탔쳘헷볃뿆톧돶냦짧,2002.\[J\].풤닢,2002,(3):42-45.\[4\]탬쇺뇾,슽죘.R/S럖컶첽쯷훐맺막욱쫐뎡뗄럇쿟탔\[J\].풤닢,1999,(2):59-62.ꆾ퓰죎뇠벭:췵맺샲ꆿFractalMarketHypothesisandApplicationinShanghaiStockMarketXIEHong2fei(DepartmentofEconomicsandManagement,HuizhouUniversity,Huizhou516007,GuangdongChina)Abstract:TheHurstExponent,H=,canbeobtainedbydoingthefractaltestofCompositeIndexofShanghaiStockExchangeaswellasthenormaldistributiontestofitslogarithmyield,whichprovesShanghaiStockMarketnotonlyobtainsobviousconstancyandtendency,notrandomwalk,,N=60weeks,showsthatShanghaiStockMarkethasstrongabilityinshort-termbehaviormode,,:FractalMarketHypothesis;R/SAnalysis;HurstExponent;FractalDimensionꆾ톧쫵탅쾢ꆿ죽얩컊쳢뗄쫐뎡뺭볃샭싛뷢컶얩컊쳢ꆱ뗄횢뷡뻍쫇킡얩뺭볃폫쫐뎡뺭볃뗄쎬뛜,헔샚퓚ꆶ톧쫵퇐뺿ꆷ2005쓪뗚5웚컄횸돶,쓇쎴ꆰ쫇럱펦쿻쏰킡얩뺭볃ꆱ뻍돉쇋튻룶캱컊쳢,뷱죕훐맺횮ꆰ죽얩컊쳢ꆱ,놾훊짏뻍쫇킡얩뺭볃폫뛸ꆰ퓵퇹쿻쏰킡얩뺭볃ꆱ닅쫇튻룶헦컊쳢ꆣ죧맻컒쫐뎡뺭볃뗄돥춻뫍쎬뛜ꆣ듓샺쪷랢햹뗄쟷쫆뾴,훐쏇죔퓚ꆰ쫇럱펦쿻쏰킡얩뺭볃ꆱ뗄컊쳢짏헹싛늻맺쏦쇙뗄컊쳢늻쫇펦늻펦룃쿻쏰킡얩뺭볃,뛸쫇펦택,뻍횻쓜쫇훇솦풴뗄샋럑ꆣ떱퓵퇹쿻쏰킡얩뺭볃ꆣ틲듋,튻떩컒쏇냑컕쇋ꆰ죽' 1994-2007 China Academic Journal Electronic Publishing House. All rights reserved.
