摘要
应用修正Weibull分布对上海综合指数收益率和深圳成分指数收益率的分布状况进行研究。结果表明:经过简单的移位变换后,上证综指收益率和深成指收益率可完全用修正Weibull分布来刻画;大收益率服从次指数分布,小收益率服从超指数分布;两股指收益率的概率分布存在一些差异,上证综指的波动性大于深成指的波动性;沪深股市收益率的分布在1996年以后发生了较大的变化,其中沪市变化更大。
this paper researches the distribution status of Shanghai synthesis index returns and Shenzhen composition index returns by use of modified Weibull distribution.The results show that the modified Wibull distribution can completely depict the distributions of Shanghai synthesis index returns and Shenzhen composition index returns through the simple shift transformation;The big returns obeys sub-exponential distribution and the small returns obeys super-exponential distribution;There are a few differences between the probability distributions of two stock index returns.The fluctuatio of Shanghai synthesis index in bigger than that of Shenzhen composition index;After 1996,the probability distributions of stock market returns in Shanghai and Shenzhen have biggish change and the change of Shanghai stock index returns is more big.
出处
《中国管理科学》
CSSCI
2004年第6期18-22,共5页
Chinese Journal of Management Science
基金
国家自然科学基金资助项目(70171054)
国家统计局重点研究项目(lx03-04)
