Study of the China's Stock Market Returns Distribution Function

被引：0
|
作者：
Lu Fangyuan [1 ,2 ]
Duan Xiaona [1 ]
Yuan Miao [3 ]
机构：
[1] Zhengzhou Univ, Sch Business, Zhengzhou 450001, Henan, Peoples R China
[2] Zhengzhou Univ, Syst Econ Inst, Zhengzhou 450001, Henan, Peoples R China
[3] Chongqi Univ, Coll Math & Stat, Chongqi 40030, Peoples R China
来源：
2011 CHINESE CONTROL AND DECISION CONFERENCE, VOLS 1-6 | 2011年
关键词：
China's stock market returns; SGT distribution; EGB distribution;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
It is well-known that China's stock market returns distribution is non-normal, but there is no consistent conclusion that which distribution is better to describe this non-normal character. Through empirical analysis, we find that the EGB distribution and SGT distribution are more suitable to describe the stock market returns. And the SGT distribution is better than the EGB distribution to describe the China's stock market.
引用
收藏
页码：3345 / 3349
页数：5
相关论文
共 50 条
  • [1] A Research on the Distribution of China's Stock Market Returns and VaR Estimation
    Wang Baoqian
    Wang Fengxian
    PROCEEDINGS OF THE SIXTH INTERNATIONAL SYMPOSIUM ON CORPORATE GOVERNANCE, 2011, : 330 - 334
  • [2] Predictability of China's Stock Market Returns Based on Combination of Distribution Forecasting Models
    Yao, Yanyun
    Zheng, Xiutian
    Wang, Huimin
    JOURNAL OF ADVANCED COMPUTATIONAL INTELLIGENCE AND INTELLIGENT INFORMATICS, 2020, 24 (04) : 477 - 487
  • [3] A wave function for stock market returns
    Ataullah, Ali
    Davidson, Ian
    Tippett, Mark
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2009, 388 (04) : 455 - 461
  • [4] An Impact of US and UK Stock Return Rates' Volatility on the Stock Market Returns: An Evidence Study of Germany's Stock Market Returns
    Horng, Wann-Jyi
    Lee, Jun-Yen
    THIRD 2008 INTERNATIONAL CONFERENCE ON CONVERGENCE AND HYBRID INFORMATION TECHNOLOGY, VOL 2, PROCEEDINGS, 2008, : 1159 - +
  • [5] The Impact of Oil Price Shocks on the Returns in China's Stock Market
    Lin, Chu-Chia
    Fang, Chung-Rou
    Cheng, Hui-Pei
    EMERGING MARKETS FINANCE AND TRADE, 2014, 50 (05) : 193 - 205
  • [6] The distribution of stock returns when the market is up
    Chen, JT
    Gupta, AK
    Troskie, CG
    COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2003, 32 (08) : 1541 - 1558
  • [7] The asymptotic distribution of extreme stock market returns
    Longin, FM
    JOURNAL OF BUSINESS, 1996, 69 (03): : 383 - 408
  • [8] Jump risk and cross section of stock returns: Evidence from China's stock market
    Zhou H.
    Zhu J.Q.
    Journal of Economics and Finance, 2011, 35 (3) : 309 - 331
  • [9] A LSTM-based method for stock returns prediction : A case study of China stock market
    Chen, Kai
    Zhou, Yi
    Dai, Fangyan
    PROCEEDINGS 2015 IEEE INTERNATIONAL CONFERENCE ON BIG DATA, 2015, : 2823 - 2824
  • [10] Abnormal Returns of Stock Dividend: Evidence from China's Securities Market
    Lu, Qingchun
    Qian, Kai
    2013 INTERNATIONAL CONFERENCE ON INFORMATION TECHNOLOGY AND APPLICATIONS (ITA), 2013, : 143 - 146
12345