| 中国股市收益率胖尾性分析 |
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| 引用本文： | 卢方元. 中国股市收益率胖尾性分析[J]. 系统管理学报, 2005, 14(4): 350-352 |
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| 作者姓名： | 卢方元 |
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| 作者单位： | 西南交通大学,经济管理学院,成都,610031;郑州大学,商学院,郑州,450052 |
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| 基金项目： | 国家自然科学基金资助项目(70171054)，国家统计局重点资助项目(lx03-04) |
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| 摘 要： | 应用HKKP估计方法对沪深股指收益率的尾指数进行估计,并对涨跌停板前后股指收益率尾部的变化状况进行分析。结果表明:沪深股指收益率的左右尾指数均大于2;上证综指收益率呈现明显的非对称性,右尾胖于左尾;上证综指收益率的波动性比深成指收益率的波动性大,但沪市比深市更有吸引力;沪深股指收益率在涨跌停板后发生了较大的变化,沪市变化更大。
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| 关 键 词： | 中国股市 收益率 尾指数 HKKP估计 |
| 文章编号： | 1005-2542(2005)04-0350-03 |
| 修稿时间： | 2004-04-06 |
Analysis on Fat Tail Characteristics of Stock Market Returns in China |
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| LU Fang-yuan. Analysis on Fat Tail Characteristics of Stock Market Returns in China[J]. Systems Engineering Theory·Methodology·Applications, 2005, 14(4): 350-352 |
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| Authors: | LU Fang-yuan |
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| Affiliation: | LU Fang-yuan~1,2 |
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| Abstract: | This paper researches the tail-index estimate of Shanghai-Shenzhen stock index returns and analyzes the tail change of stock index returns before daily price limit and after daily price limit. The results show that the right-and-left tail-index of Shanghai-Shenzhen stock index returns all are more than 2; Non-symmetry is evident in Shanghai Synthesis Index returns and right tail is fatter than left tail; The fluctuation of Shanghai synthesis index returns is bigger than that of Shenzhen Composition Index returns, but the attraction of Shanghai stock market is larger; Shanghai-Shenzhen stock index returns have biggish changes after daily price limit and the change of Shanghai stock index returns is even bigger. |
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| Keywords: | stock market of China return tail-index HKKP estimate |
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