Statistical analysis of yield-distribution of Shenzhen and Shanghai stock market
Hu Yang · Application of Statistics and Management · 2004
In the paper,we investigate some stock-index return rate data from shenzhen and Shanghai stock market, to detect their distribution with a sharp-Kurtosis and fat-tail characteristic, not norm. we use Laplace distribution to replace normal distribution for simulation of the distribution of return rate. By statistical test, Laplace distribution shows more efficiency than normal distribution in Chinese securities market.