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《Basic Sciences Journal of Textile Universities》 2003-03
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The normal test of the return ratio in Shanghai stock market

LIN Meiyan1,XUE Honggang1,2, ZHAO Fengqun1(1.Department of Mathematics, Xian University of Technology, Xian 710048,China;2.Department of Mathematics, Xian Jiaotong University, Xian 710049,China)  
In terms of that composite index in Shanghai Stock Exchange (SSE) obeys normal distribution or not, two test methods which are normal probability plot and JarqueBera test (JB) are presented. It is proved that there exists obvious difference between return rate distribution and normal distribution, and that there exists serious fat tail. While day return rate in SSE is fitted by t distribution, and it can be seen that the fitting results is better than the normal distribution.
【Fund】: 国家自然科学基金资助项目(10231060).
【CateGory Index】: F832.5
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