中国股市收益率胖尾性分析  

Analysis on Fat Tail Characteristics of Stock Market Returns in China

作　　者：卢方元[1] 

机构地区：[1]西南交通大学经济管理学院

出　　处：《系统工程理论方法应用》2005年第4期350-352,368,共4页Systems Engineering Theory·Methodology·Applications

基　　金：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)

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。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.

关 键 词：中国股市 收益率 尾指数 HKKP估计 

分 类 号：F830.9[经济管理—金融学]