Empirical Study on the Non-Periodic Cycles of Fractal Time Series: Examples of Indices of the Chinese Stock Market

Yang Li; Wei Yu Zhang; Yong Wei; Jin Hui Sun

doi:10.4028/www.scientific.net/AMM.734.637

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HomeApplied Mechanics and MaterialsApplied Mechanics and Materials Vol. 734Empirical Study on the Non-Periodic Cycles of...

Empirical Study on the Non-Periodic Cycles of Fractal Time Series: Examples of Indices of the Chinese Stock Market

Abstract:

By R/S analysis, non-periodic cycles of the SSE Composite Index and SZSE Composite Index are studied in this paper. With a different determinant method from the previous works about fractal behaviors of the Chinese stock market, the empirical results obtained in this study support the non-periodic cycle results but with different values. With more data available, the analysis shows that the two indices follow a biased random walk with two non-periodic cycles, one about 4.5 years and another about 9 years, which may be tied to the economic and politic cycles.

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Periodical:

Applied Mechanics and Materials (Volume 734)

Pages:

637-641

DOI:

https://doi.org/10.4028/www.scientific.net/AMM.734.637

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Online since:

February 2015

Authors:

Yang Li, Wei Yu Zhang, Yong Wei, Jin Hui Sun*

Keywords:

Capital Market, Fractal Time Series, Non-Periodic Cycle, R Language, R/S Analysis

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* - Corresponding Author

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