A Prospective Study of the Price Behaviors of Chinese Stock Markets

Based on analogous Zipf analysis method, our paper presents the similarities and differences of price behaviors between Shanghai and Shenzhen Stock market. We have analyzed the up-down information of the price fluctuations in two markets, and identified two critical points, at which the heterogeneous agents transit their trading behaviors, and three phases in them respectively. Although two markets present similarities in phase transactions, there exist differences in the price behaviors and formation mechanisms of price. Furthermore different phase is controlled by noise traders or fundamentalists; the behavior of them induces the structure of markets.