拟合中国股票市场收益的统计分布.docx

2006年12月 2006年12月 系统工程理论与实践 第12期 文章编号：1000．6788(2006)12—0040．07 拟合中国股票市场收益的统计分布 王新宇，宋学锋 (中国矿业大学管理学院，徐州221008) 摘要：对中国沪深股市收益的统计分布特征和市场风险规律进行了定量比较研究．分别采用稳定分 布、渐近帕累托分布和截断列维分布拟合中国股票市场收益统计分布，实证研究发现中国股市收益分布 的中间部分适合用稳定分布描述，分布的尾部适合用尾部指数大于2的渐近帕累托分布描述，即是具有 尖峰厚尾特征的有限方差不对称分布．揭示出中国股市中高收益事件比低收益事件发生的更为频繁，深 圳市场比上海市场的投资风险要高．所得结论有益于对价格波动性建模、资产定价、金融风险管理等领 域的深入研究． 关键词： 稳定分布；渐近帕累托分布；截断列维分布；中国股市 中图分类号： F121．26 文献标志码： A A Study on Describing the Statistical Distribution of Returns in Chinese Stock Markets WANG Xin—yu，SONG Xue-feng (School of Management，China University of Mimng and Technology，Xuzhou 221008，China) Abstract：The paper quantitatively investigates the statistical characteristics of and rules of market risk in Shanghai stock market and Shenzhen stock market．The paper describes the empirical distributions of returns in Chinese stock markets with three theoretical models namely stable distribution，asymptotic Pareto distribution and truncated Levy distribution．Bv empirical analysis it is found that the of empirical distributions be effectively explained by stable k、，y distribution，and the tails by asymptotic Pareto distribution with characteristic exponents larger than 2．It is indicated that distributions of returns in Chinese stock markets have limited variance and asymmetric heavy tails．The evidences also support that good happen more frequently than bad losing in Chinese stock markets，and the market risk of Shenzhen stock market is bigger than of Shanghai stock market．The conclusions in the paper will benefit the deep research volatility modeling，asset pricing and financial risk management and in future． Key words： stable distribution；asymptotic pareto distribution；truncated levy distribution；Chinese stock markets 1 引言 对金融资产收益率分布状况的正确描述，直接关系到证券组合选择的正确性、风险管理的有效性及期 权定价的合理性．在经典的有效市场假说(Efficient Market Hypothesis)中，股市收益通常被假定服从正态分 布．自Benoit Mandelbrot(1963)n1认为价格不遵循随机游走，用稳定帕累托分布描述其行为更合适以来， Press S．J．(1967)乜]、P