Abstract The Efficient Market Hypothesis has faced a growing number of practical challenges. This paper analyzes the fractal characteristics of the capital market, introduces fractal market theory into the area of fund investment style for the first time, proposes Recognition model of the investment style based on fractal dimension, and makes an empirical research on the 79 openend funds samples in China. Results show that: the method can better recognize the fund investment styles than the existing two main styles recognition methods, providing a more realistic market recognition method of investment style; based on Gini coefficient ideas, we build the investment style index(CIS) to describe the degree of investment style drift, and it is found that certain degree of style drift has occurred in 78.5% funds, but less funds have style consistency and serious style drift, which is relevant to the currently imperfect security market.
|
Received: 25 September 2010
|
|
Corresponding Authors:
Xu Lin
|
|
|
|