Empirical Investigation of Distribution Feature of Return in China Stock Market
Liang Si-an · Application of Statistics and Management · 2007
In addition to the features of steep-peak and heavy tails,skewness or asymmetric has also Been seen in financial data recently.This paper makes empirical analysis of skew tails feature of return data in China stock market under asymmetric laplace distribution.The results are contrary to Campell's views of behavioral finance and show that the right tails are heavier than the left tails,especially for median or long period data. The study also indicates that the sensivity of skewness with respect to time horizon in Shenzhen stock market is higher than in Shanghai stock market.