证券市场对数收益率的广义偏斜t分布

Generalized Skew t Distribution of Log-Return Rate in Stock Market

摘要: 本文的主要问题是研究证券市场中对数收益率的分布特征。对上证指数、深证成指、工业指数、地产指数、消费服务和食品饮料等6个指数一个年度的交易日的收盘数据，利用统计检验方法进行实证分析，分析结果表明：证券指数的对数收益率不服从正态分布，具有尖峰、厚尾、偏斜等特征，它们均以较大的概率被接受为服从广义偏斜t分布，所以广义偏斜t分布是研究证券市场对数收益率的合理分布。

Abstract: The main aim of this paper is to study the distribution characteristics of log-return rate in stock market. The closing data of a year trading day of the 6 indexes (the Shanghai composite index, Shenzhen stock index, industrial index, real estate index, consumer services index, and food and beverage index), are done with the empirical analysis by using the statistical methods. Results show that the log-return rates of the stock indexes do not obey the normal distribution, with the characteristics of high peak, heavy tail and skew distribution. And results also show that the log-return rates are with high probability to be accepted as obeying the generalized skew t distri-bution. So the generalized skewed t distribution is a reasonable distribution to research the log-return rate of stock market.