中国股票收益率的稳定分布拟合与检验

The Stable Distributions Fitting and Testing in Stock Returns of China

对上海股票市场及深圳股票市场做了实证研究 ,对股票收益率进行了稳定分布的拟合 ,并与正态分布的拟合加以比较 ,并做了非参数的χ2和 Dn 检验 。

This paper gives a demonstrative research in Shanghai and Shenzhen stock markets and a stable distribution fit in returns of stock. It also compared with normal distribution fit and did non parameter χ 2 and D n test. The results show that the stable distribution is much better than the normal distribution in dealing with stock returns distribution with fat tail.