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

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.