Title :
Study of the China´s stock market returns distribution function
Author :
Fangyuan, Lu ; Xiaona, Duan ; Miao, Yuan
Abstract :
It is well-known that China´s stock market returns distribution is non-normal, but there is no consistent conclusion that which distribution is better to describe this non-normal character. Through empirical analysis, we find that the EGB distribution and SGT distribution are more suitable to describe the stock market returns. And the SGT distribution is better than the EGB distribution to describe the China´s stock market.
Keywords :
statistical distributions; stock markets; China; EGB distribution; SGT distribution; empirical analysis; stock market return distribution function; Fitting; Gaussian distribution; Indexes; Logistics; Modeling; Stock markets; Weibull distribution; China´s stock market returns; EGB distribution; SGT distribution;
Conference_Titel :
Control and Decision Conference (CCDC), 2011 Chinese
Conference_Location :
Mianyang
Print_ISBN :
978-1-4244-8737-0
DOI :
10.1109/CCDC.2011.5968836