摘要
选取沪、深证券交易所证券投资基金指数对数收益率为研究对象,分别采用分形、R/S统计检验、关联维检验、李雅普诺夫指数检验等方法实证得知中国证券投资基金系统具有分形、自相关性、混沌、李雅普诺夫指数大于零等非线性特征。由于证券投资基金系统具有混沌性,那么证券投资基金制度发展必然对初始条件具有敏感的依赖性,因此可以采用市场化的制度创新手段,培养证券投资基金系统的混沌吸引子,促使证券投资基金系统向着更高层次的有序态演化。
This paper selects the logarithmic return rate of securities investment fund index in Shanghai and Shenzhen Stock Exchanges as the subject, using fractal, R/S statistical testing, correlation dimension testing, Lyapunov index testing methods and so on to demonstrate that Chinese securities investment funds system has non-linear characteristics such as fractal, self-relevance, chaos, Lyapunov exponent greater than zero, etc. The securities investment fund is chaotic, so its institutional evolution must be sensitively dependent on the initial conditions, Therefore, adopting institutional innovation means of commercialization and developing chaotic attractor of securities investment fund system will promote the securities investment fund system to a higher level and orderly state.
出处
《管理评论》
CSSCI
北大核心
2011年第12期18-25,共8页
Management Review
基金
国家社会科学基金项目(11BJY147)
教育部人文社会科学研究规划基金项目(10YJA90110)
中国博士后科学基金项目(20110490239)
山东省自然科学基金项目(ZR2009HL016)
关键词
证券投资基金
非线性
混沌
关联维
securities investment fund, non-linear characteristics, chaos, correlation dimension
