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对中国沪深股市收益的统计分布特征和市场风险规律进行了定量比较研究.分别采用稳定分布、渐近帕累托分布和截断列维分布拟合中国股票市场收益统计分布,实证研究发现中国股市收益分布的中间部分适合用稳定分布描述,分布的尾部适合用尾部指数大于2的渐近帕累托分布描述,即是具有尖峰厚尾特征的有限方差不对称分布.揭示出中国股市中高收益事件比低收益事件发生的更为频繁,深圳市场比上海市场的投资风险要高.所得结论有益于对价格波动性建模、资产定价、金融风险管理等领域的深入研究.
This paper makes a quantitative comparative study on the statistical distribution and market risk of the returns of China’s Shanghai and Shenzhen stock markets.The statistical distributions of the returns on the Chinese stock market are fitted by using the stable distribution, the asymptotic Pareto distribution and the truncated distribution of the dimensional distribution respectively. The empirical study finds that the Chinese stock market The middle part of the income distribution is suitable to be described by a stable distribution, and the tail of the distribution is suitable to be described by an asymptotic Pareto distribution with a tail index greater than 2, which is a finite variance asymmetric distribution with spikes and thick tails. The incidence of investment in Shenzhen market is higher than that in Shanghai market, which is more frequent than that of low-yield event.The conclusions of the study are beneficial to the further research in the fields of price volatility modeling, asset pricing and financial risk management.