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《Journal of Management Sciences in China》 2008-01
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Empirical study on distributions of stock index returns in China's securities market

HUANG De-long,YANG Xiao-guangAcademy of Mathematics and Systems Science,Chinese Academy of Sciences,Laboratory of Management Decision and Information System,Chinese Academy of Sciences,Beijing 100080,China  
Using daily data from 1996 to 2004 of Shanghai and Shenzhen composite indices,we investigate the empirical distributions of China's stock index returns.First we find that the hypothesis of Normal Distribution is refused.Then we further test scaled-t distribution,Logistic distribution,exponential power distribution,mixtures of two normal distributions,ARCH-M model,GARCH-M model from various view,e.g.goodness-of-fit test,VaR deviation,and probability deviation over different intervals.We find that scaled-t Distribution is the best to describe China's stock index returns.
【Fund】: 国家自然科学基金资助项目(70425004;700221001;70331001)
【CateGory Index】: F224;F832.51
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