上海股票市场收益率分布研究  

Distribution Research of the Yield of Shanghai Stock Market

作　　者：徐晓岭[1] 於嵩 顾蓓青[1] 

机构地区：[1]上海对外贸易学院商务信息学院,上海201620 [2]上海市世界外国语中学,上海200233

出　　处：《数学理论与应用》2010年第3期28-31,共4页Mathematical Theory and Applications

基　　金：上海市教委科研创新重点项目(B-5902-07-004);上海师范大学校科研项目(SK200811);上海师范大学第五期重点学科(DZL805);上海市重点学科(S30405);上海市科委科技项目(075105118);科学计算上海高校重点实验室;2009年上海市教委概率论与数理统计重点课程;上海高校选拔培养优秀青年教师科研专项基金资助

摘　　要：股票市场的收益率从分布的角度看,并不服从标准的正态分布,而是呈现出一种"尖峰、厚尾"的特征。本文对上海股票市场进行分析,采用几种方法对股指对数收益率进行正态分布检验,发现收益率更加接近于一种混合正态分布,本文利用混合辨析的思想得到了收益率分布的具体形式。From the distribution point of view, the yield of stock market doesn＇ t follow the normal distribution, but appears the property as ＂the peak, thick end＂. Shanghai Stock Exchange is analyzed in this paper, and the normal distribution test of the index＇ s logarithmic yield is made by several methods. It can be concluded that the yield approaches to the mixed normal distribution, and the specific form of the yield distribution is obtained by using the theory of mixed analysis.

关 键 词：收益率 尖峰厚尾 混合分布 正态检验 

分 类 号：F224[经济管理—国民经济] F832.51