沪深300股指期货牛熊周期的长记忆性、风险和有效性实证研究：
基于多重分形视角
Research of Long Memory, Risk and Efficiency of Bull and Bear Based on CSI300 Index Futures: From the Perspective of Multifractality
作者介绍
唐勇：福州大学经济与管理学院教授，博士生导师，博士
朱鹏飞(通讯作者)：福州大学经济与管理学院博士研究生
摘 要
针对已有研究的不足，基于多重分形视角，采用OSW-MF-DFA、OSW-A-MFDFA方法，以2014-2016年沪深300股指期货牛熊周期长记忆性、风险及有效性为研究对象，利用高频数据，从传统范式、非对称性及阶段性三个层面进行分析。研究表明：牛熊周期及其内部各个阶段都具有多重分形特征，且存在非对称性；牛市和熊市以及各个阶段的长记忆性、风险及有效性存在着明显的差异，同时对应的非对称性也有所差异，这与经济背景、市场政策和投资者行为密切相关；牛熊周期存在显著的阶段性特征。此研究对于市场监管、风险管理及投资策略等方面有参考价值和实践意义。
关键词：多重分形, 牛熊周期, 长记忆性, 风险, 有效性
基金资助
国家自然科学基金项目（71171056；71473039）
福建省社科规划重大项目（FJ2017Z006）
福建省自然科学基金项目（2017J01518）
金融数学福建省高校重点实验室（莆田学院）开放课题（JR201804）
Abstract
In light of the deficiency in the existing researches, this paper uses the OSW-MF-DFA and OSW-A-MFDFA to reconstruct a risk model from the perspective of multifractality. The long memory, risk and efficiency of the bull and bear of CSI300 index futures from 2014 to 2016 are used as the objectives of study. In this paper, we analyze the problem from three aspects:traditional paradigm, asymmetry and stage, based on the high-frequency data. The empirical results show that the return series of bull market, bear market and stages are multifractal, meanwhile, they are asymmetric; there are significant divergence among the bull market, bear market and stages in terms of their long memory, risk and efficiency, and the asymmetry within them differs from each other, which is largely due to different economic background, market policy and investor behavior; in addition, the bull and bear markets have their own stage characteristics respectively. This research has practical significance for regulatory policy formulation, risk management, investment strategy building, and so on.
Keywords：multifractal ，bull and bear markets，long memory，risk，efficiency
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