本文以上海深圳股票市场为例,对上证、深证综指的5日收益率、10日收益率、20日收益率进行了多重分形分析。结果表明在各个时间标度上Hurst指数均表现为持久性特征,可见中国股市呈现明显的非线性的分形特征,这一市场是一个复杂性系统,基于线性范式的有效市场假说是不适合的。 Taking Shanghai and Shenzhen stock markets as an example, this paper conducts a multi-fractal analysis on the 5th, the 10th and the 20th returns of the Shanghai and Shenzhen Stock Exchanges. The results show that the Hurst index shows persistence characteristics on all time scales. It can be seen that the Chinese stock market shows obvious nonlinear fractal characteristics. This market is a complex system, and the effective market hypothesis based on the linear paradigm is not suitable.