中文摘要：

有效市场的假说一直是分析资本市场的前提,但是由于资本市场是个复杂的系统,所以很多时候有效市场的假说不能解释资本市场的现实情况.通过分析各大上市银行的对数收益率发现其呈现出＂尖峰厚尾＂的分布特征,由各大上市银行自上市起到2015年末所有的日收盘价,分别计算出了各大银行的Hurst值,结果发现：大部分上市银行的股票的Hurst值明显的小于0.5,这就说明上市银行股票市场具有明显的分形特征,时间序列具有反持久性,通过聚类分析发现浦发银行、民生银行、工商银行的Hurst值最接近0,说明它们的分形特征最明显,反持久性最强.

英文摘要：

The efficient market hypothesis has been the premise of the analysis of the capital market.Since the capital market is a complex system the efficient market hypothesis can not explain the reality of the capital market in many times,By analyzing the log return rate of the major listed banks,it is found that the distribution characteristic of＂peak and thick tail＂is found.Therefore,we have statistics all the day closing price of the major listed banks since the end of 2015,respectively,calculated the Hurst value of the major banks.It shows that the Hurst value of each listed bank is less than 0.5、This has obvious fractal characteristics of the stock market of listed banks,which does not belong to the effective market described under the efficient market hypothesis.It shows that the value of Shanghai Pudong Development Bank,Minsheng Bank,Industrial and Commercial bank are close to 0,Which shows that they have the strongest anti persistence.