上海证券市场收益率分布实证研究
首发时间:2009-07-14
摘要:本文通过概率坐标图发现上海证券市场收益率分布曲线存在尖峰厚尾现象;特别是随着时间单位的增大,收益率分布的尖峰厚尾呈递减的趋势。这说明收益率分布不服从正态分布。本文就2003年1月10日-2008年3月17日间上海证券市场证券收益率数据进行研究,采用JB参数检验法及KS非参数检验法从统计方面验证了这一点。然而从坐标图上还可以发现其分布同样不具有对称性,本文又采用秩和检验法进一步验证了其非对称性。最后,本文通过计算统计量Hurst验证了证券价格Long-term memory的特征。
关键词: JB参数检验 KS非参数检验 非对称性 秩和检验 统计量Hurst
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Empirical Study of the Returns Ratio Distribution in Shanghai Stock Market
Abstract:This article discovers the returns ratio distribution of Shanghai stock market has the phenomenon of “excess kurtosis and fat tail” through the probability coordinate chart. Especially with the increase of the time, the phenomenon of the returns ratio distribution decreases progressively. This phenomenon indicated that the income distribution does not obey the normal distribution. On the basis of the returns ratio data of Shanghai stock market in 2007, this article tests this point, by using JB parameter inspection method and the KS non-parameter inspection method, from the statistical aspect. However, we can also discover that its distribution is not symmetrical through the probability coordinate chart, and we use Zhihe inspection method to test its asymmetry further. Finally, this paper tests that “Long-term memory” is one of characters of the returns ratio by computing statistics Hurst.
Keywords: JB parameter inspection method KS non-parameter inspection method asymmetry Zhihe inspection method statistics Hurst
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