Abstract
This paper presents an analysis of multifractal structure of the eight historical Chinese stock market crashes based on the Shanghai Stock Exchange Composite Index (SSECI). It supports that the multifractal dimension describes well the behavior of self-organized criticality of the eight crashes, suggesting that the multifractal dimension is available to predict the crash. We also attempt to analyze the impact of policy and market institutional structure on the crashes, proposing that the stock market conditions have a great impact on the fractal dimension of stock crashes: A strong government intervention in the stock market corresponds to a low fractal dimension and high intensity crash, and vice versa.
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