中国股票市场股票收益稳态特性的实证研究

Empirical Research on the Stable Properties of Stock Returns in China Stock Market

研究股票收益分布的特征 ,对探索股票市场有效性、证券投资组合等问题都具有重要的现实意义。股票收益分布具有厚尾特征。这类问题往往很难用正态分布去描述。正是由于稳态分布能够很好地处理具有厚尾特征的分布 ,因此在金融领域中越来越得到广泛的应用。在徐龙炳和陆蓉 (1 999)研究的基础上 ,本文应用稳态分布理论实证研究中国股票市场股票收益的特性。研究结果表明 ,中国股票市场股票收益构成的时间序列呈现狭峰、厚尾 ,具有稳态特征。对于具有状态持续特性的时间序列来说 ,传统的CAPM、APT等模型将不再适用。

The distribution of stock returns has thick tails.Such data sets are poorly described by a Gaussian model,but possibly can be described by a stable distribution.As they can capture the characteristics of thick tails stable distribution have now received great attention in financid area.This paper deals with the stable properties of stock returns in Chinese Stock Market by stable distribution on the base of Longbing Xu and Rong Lu(1999).The results show that the distribution of the daily stock returns is lepto -kortursis and have thick tails.