Empirical Study of Chinese Stock Market Structural Changes Based on Dissipative Structure Theory

摘要

In this paper, we study Chinese stock market structural changes based on Dissipative Structure Theory. We believe that stock market, as a complex open economic system, has basic features of dissipative structures according to a brief theoretical analysis. Then we introduce Bayesian analysis to study stock market structures in terms of probability. We apply Bayesian analysis to detect change-points and generalize this method for seeking structure-change-points. We use the continuous composite return series for empirical study. And we find that Chinese stock market made seven or eight structural changes from July 2001 to March 2015.