Fractal Characteristics, Multiple Bubbles, and Jump Anomalies in the Chinese Stock Market. (16th September 2020)

• Record Type: Journal Article
• Authors: Meng, Sun; Fang, Hairui; Yu, Dongping
• Other Names: Chen Tingqiang Academic Editor.
• Is Part Of: Complexity. Volume 2020(2020)
• Publication Date: 2020-09-16
• Subjects: Chaotic behavior in systems -- Periodicals; Complexity (Philosophy) -- Periodicals; 003
• DOI: 10.1155/2020/7176598
• Languages: English
• ISSNs: 1076-2787

Abstract

Abstract : To consider the jump problem of the Chinese stock market, this paper takes the CSI 300 Index from April 2005 to November 2015 as the research object, uses the rescaled range analysis (R/S analysis) method to examine the fractal characteristics of the Chinese stock market in the past ten years, and deduces the possibility of multiple bubbles in the Chinese stock market. Based on this, combined with the log-periodic power law (LPPL) model, the stock market bubbles are identified in different periods. The results show that China's stock market has some anomalies in terms of positive bubbles, negative bubbles, and reverse bubbles, as well as the cross occurrence of reverse-negative bubbles. Besides, through a comparison with the major foreign stock markets, it is found that the fluctuation range of the Chinese stock market is much larger than that of the Dow Jones Industrial Average and the FTSE 100 indices in the same period and there are also more types of multibubbles, which is a connotative anomaly that makes the Chinese stock market different from other major stock markets. Furthermore, the bubble phenomenon in the Chinese stock market during the periods of 2005/4–2007/10 and 2015/6–2015/11 is studied, and it is found that there is a jump anomaly in the Chinese stock market. Finally, based on the above empirical analysis and the current state of the stock market, this paper provides some suggestions for improving the mechanism of the Chinese stock market.