我国股票市场收益率序列分布尾部特征分析

On the Distribution Tail Feature of China's Stock Market

本文以我国沪深两市的数据为样本,对我国股票市场收益率分布特征进行了检验,检验结果表明我国股票市场收益率分布并非正态分布,普遍表现出尖峰胖尾特征,文章最后对分布的尾部指数进行估计与分析。

Sampling the data of Shanghai and Shenzhen stock market, this paper makes an empirical study on the distribution feature of China＇ s stock market and finds that the distrihution of return rate series is not normal and shows ＇thin peak and heavy tail＇ feature. Finally, the tail index is estimated and analyzed.