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An empirical analysis of the fractal...

Thiele, Thomas A.

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An empirical analysis of the fractal dimension of Chinese equity returns.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	An empirical analysis of the fractal dimension of Chinese equity returns./
作者:	Thiele, Thomas A.
面頁冊數:	174 p.
附註:	Adviser: Reza Hamzaee.
Contained By:	Dissertation Abstracts International68-01A.
標題:	Business Administration, Banking. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3249684

An empirical analysis of the fractal dimension of Chinese equity returns.
Thiele, Thomas A.

An empirical analysis of the fractal dimension of Chinese equity returns. - 174 p.

Adviser: Reza Hamzaee.

Thesis (Ph.D.)--Walden University, 2007.

In recent years, China has taken important steps to reform its economy and liberalize its capital markets. Despite these efforts, there is a lack of quantitative evidence of the efficiency of the stock markets in China. The purpose of this research was to determine the fundamental characteristics of asset returns of the two Chinese stock markets located in Shanghai and Shenzhen. A main assumption of the efficient market hypothesis and modern asset pricing theories is that security returns follow a random walk and are lognormally distributed. This assumption was tested by analyzing daily Chinese returns in these two stock markets over the past decade, including the pre and post reform periods of 1999-2002 and 2003-2006. The statistical investigation included descriptive analysis, autocorrelation test, rescaled range analysis, and the Kolmogorov-Smirnov goodness-of-fit test. In both stock markets, the lognormal distribution hypothesis was rejected for all data sets at the 5% significant level; and the random walk assumption and ordinary Brownian motion as a scaling property of empirical stock returns were also rejected. The findings confirm that despite the regulatory reforms in 2003 the Chinese stock markets are still inefficient and show strong evidence of speculative trading. As a result, it is recommended that further regulatory changes be accomplished to reduce the role of speculative traders and improve market efficiency. From a social perspective, the insights provided by this research may help finance practitioners improve risk management models and support rational decision contributing to the continued growth and economic prosperity of China.Subjects--Topical Terms:

1018458
Business Administration, Banking.

An empirical analysis of the fractal dimension of Chinese equity returns.
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245 1 3 $a An empirical analysis of the fractal dimension of Chinese equity returns.
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502 $a Thesis (Ph.D.)--Walden University, 2007.
520 $a In recent years, China has taken important steps to reform its economy and liberalize its capital markets. Despite these efforts, there is a lack of quantitative evidence of the efficiency of the stock markets in China. The purpose of this research was to determine the fundamental characteristics of asset returns of the two Chinese stock markets located in Shanghai and Shenzhen. A main assumption of the efficient market hypothesis and modern asset pricing theories is that security returns follow a random walk and are lognormally distributed. This assumption was tested by analyzing daily Chinese returns in these two stock markets over the past decade, including the pre and post reform periods of 1999-2002 and 2003-2006. The statistical investigation included descriptive analysis, autocorrelation test, rescaled range analysis, and the Kolmogorov-Smirnov goodness-of-fit test. In both stock markets, the lognormal distribution hypothesis was rejected for all data sets at the 5% significant level; and the random walk assumption and ordinary Brownian motion as a scaling property of empirical stock returns were also rejected. The findings confirm that despite the regulatory reforms in 2003 the Chinese stock markets are still inefficient and show strong evidence of speculative trading. As a result, it is recommended that further regulatory changes be accomplished to reduce the role of speculative traders and improve market efficiency. From a social perspective, the insights provided by this research may help finance practitioners improve risk management models and support rational decision contributing to the continued growth and economic prosperity of China.
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