深市、沪市地产股指数收益率波动性的统计研究

Study on the Volatility of Returns Rate of Real state Indices in Shenzhen and Shanghai Security Market

本文研究了深市、沪市地产指数波动的统计性质。我们主要对深市、沪市地产指数2001年—2006年的日收益率进行研究。首先从平稳序列的角度,采用偏度峰度检验和Kolmogorov-Smirnov检验等方法对两证券市场的地产指数收益率分布进行了实证分析,研究结果表明中国证券市场综合地产指数收益率序列与Gauss分布具有一定的偏离。进一步地根据数据统计分析,得到两证券市场的地产指数收益率服从幂率分布。论文的最后对地产指数的相关价格进行统计分析,讨论其相应的统计规律性。

In this paper, the statistical properties of return rate of real state indices in Shenzhen and Shanghai security market from 2001 to 2006 are investigated. First, We use skewness-kurtosis test and Kolmogorov-Smirnov test to study the statistical distribution of return rate of real state indices in the two markets and draw the conclusion that the distribution of return rate deviates normal distribution, then we find out that the distributions of return rate follow power-law distribution through empirical study. Based on this result,we analyze the fluctuations of the relative real state prices and discuss their statistical laws.