股票市场收益序列尖峰和非对称特征研究  

The Research of Excess Kurtosis and Asymmetry Characteristics on Portfolio Returns Serial in Stock Market

作　　者：万军[1] 熊一鹏 

机构地区：[1]江西财经大学公共管理学院,江西南昌330013 [2]中国平安财产保险股份有限公司,北京100032

出　　处：《财经理论与实践》2008年第3期76-79,共4页The Theory and Practice of Finance and Economics

基　　金：教育部人文社会科学规划基金项目(06JA790030)

摘　　要：基于Pearson分布,运用一种新的检验方法Rao Score检验对股票市场19只个股进行实证研究的结果表明,H0:δ=0假设通常被拒绝,股票市场尖峰和非对称性普遍存在。In this paper, Pearson type Ⅳ Distribution and a new test method of Rao Score Test was applied to the nineteen stockes of stock market. The result of research showed that the stock market has these characteristics of excess kurtosis and asymmetry, because the hypothesis of H0 ：δ = 0 usually has been refused.

关 键 词：股市收益率 尖峰 非对称性 Pearson第Ⅳ类 RS检验 

分 类 号：F832[经济管理—金融学]