| 深沪股市日对数收益率的统计分析 |
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| 引用本文： | 左艳芳,戴琳,吴刘仓.深沪股市日对数收益率的统计分析[J].昆明理工大学学报(理工版),2009,34(3):112-116. |
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| 作者姓名： | 左艳芳 戴琳 吴刘仓 |
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| 作者单位： | 1. 昆明冶金高等专科学校,社会科学与公共学院,云南,昆明,650033
2. 昆明理工大学,理学院,云南,昆明,650093 |
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| 基金项目： | 云南省教育厅科研基金项目资助，昆明理工大学校青年科研基金项目资助 |
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| 摘 要： | 利用广义双曲分布族中的正态逆高斯分布，结合Matlab，Eviews和SPSS统计软件，对深、沪股市A股的收盘价所对应的日对数收益率进行了统计分析研究．实证研究结果显示，利用广义双曲分布拟合股价目对数收益率比正态分布拟合效果好．从而为广大投资者提供决策依据．
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| 关 键 词： | 广义双曲分布 尖峰 厚尾 收益率 |
Statistical Analysis of Log-Return Series of Shenzhen and Shanghai Stock Market |
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| ZUO Yan-fang,DAI Lin,WU Liu-cang.Statistical Analysis of Log-Return Series of Shenzhen and Shanghai Stock Market[J].Journal of Kunming University of Science and Technology(Natural Science Edition),2009,34(3):112-116. |
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| Authors: | ZUO Yan-fang DAI Lin WU Liu-cang |
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| Affiliation: | ZUO Yan-fang, DAI Lin, WU Liu-cang ( 1. Faculty of Social Science and Public Education, Kunming Metallurgy College, Kunming 650033, China; 2. Faculty of Science, Kunming University of Science and Technology, Kunming 650093, China) |
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| Abstract: | The normal inverse Gaussian distribution of the generalized hyperbolic distribution group and Matlab, Eviews and SPSS statistical software are used to study the distribution of the log - return series of A - share stock market＇s closing price in Shenzhen and Shanghai stock markets. The empirical results show that the generalized hyperbolic distribution fits the log- return better than the normal distribution. |
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| Keywords: | generalized hyperbolic distribution sharp- kurtosis fat tails return rate |
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