非参数方法在沪深股市收益率分布的应用

Application of Nonparametric Method in the Returns Distributions in Shanghai and Shenzhen Stock Markets

沪深大盘指数的收益率分布函数并不服从通常人们所认为的正态分布。本文采用一种新的方法——非参数核密度估计,对大盘指数的收益率分布函数进行研究。这种新方法不仅很好地刻画了收益率分布的尖峰和肥尾特征,而且比一般的正态分布更能捕捉市场的风险特征,结论也更加准确。

This paper has studied the returns distributions in Shanghai and Shenzhen stock markets. The results indicate that the returns distributions are not normal distributions. Therefore, the author uses a new way--nonparametric kernel density estimators, to estimate the returns distributions of stocks. By the new estimators, we research the returns distributions and get the new results. The way is very useful at depicting the characteristics of sharp peaks and fat tails of returns distributions.