| 中国股市收益率分布特征的实证研究 |
| |
| 引用本文： | 蒋春福,李善民,梁四安.中国股市收益率分布特征的实证研究[J].数理统计与管理,2007,26(4):710-717. |
| |
| 作者姓名： | 蒋春福 李善民 梁四安 |
| |
| 作者单位： | 深圳大学数学与计算科学学院,广东,深圳,518060;中山大学管理学院,广东,广州,510275;广东商学院金融学院,广东,广州,510320 |
| |
| 摘 要： | 金融数据除了具有尖峰厚尾特性以外,也表现出了尾部概率的非对称性,即偏尾特征。本文采用非对称Lap lace分布对我国沪深股市的样本收益率数据进行了实证分析,研究表明,我国股市的中长期收益率数据存在明显偏尾特征,与Compell的行为金融学解释恰恰相反,这种偏尾特征的具体表现不是左尾比右尾厚,而是右尾比左尾厚,研究还表明深市收益率偏尾特征对时间水平的灵敏度比沪市要高。
|
| 关 键 词： | 中国股市 偏尾特征 非对称Laplace分布 行为金融 |
| 文章编号： | 1002-1566（2007）04-0710-08 |
| 修稿时间： | 2005-12-16 |
Empirical Investigation of Distribution Feature of Return in China Stock Market |
| |
| JIANG Chun-fu,LI Shan-min,LIANG Si-an.Empirical Investigation of Distribution Feature of Return in China Stock Market[J].Application of Statistics and Management,2007,26(4):710-717. |
| |
| Authors: | JIANG Chun-fu LI Shan-min LIANG Si-an |
| |
| Institution: | 1. College of Mathematics and Computing Science, Shenzhen University, Shenzhen, 518060, China; 2. School of Business, Sun Yat-Sen University, Guangzhou, 510275, China; 3. School of Finance, Guangdong University of Business Studies, Guangzhou,510320, China |
| |
| Abstract: | In addition to the features of steep-peak and heavy tails,skewness or asymmetric has also Been seen in financial data recently.This paper makes empirical analysis of skew tails feature of return data in China stock market under asymmetric laplace distribution.The results are contrary to Campell's views of behavioral finance and show that the right tails are heavier than the left tails,especially for median or long period data. The study also indicates that the sensivity of skewness with respect to time horizon in Shenzhen stock market is higher than in Shanghai stock market. |
| |
| Keywords: | China stock market skewness asymmetric laplace distribution behavioral finance |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
