Financial risks of global main stock indexes before and after financial crisis:An empirical study based on t-distribution
Yan Yan, Xiaowu Zhu · Systems Engineering - Theory & Practice · 2011
This research selected 28 main stock indexes of the world as a sample,in which the year of 2004-2006 was viewed as stable period,and the year of 2007-2009 was viewed as crisis period.The probability density distributions of daily logarithmic returns were fitted with normal distribution curves and t-distribution curves,calculated with the number of freedom degrees v and scale parameter b.The Kolmogorov-Smirnov test shows that i-distribution fits the data better than normal distribution.The investigation shows that the risks of stock markets are much higher during the financial crisis.During the stable period,almost all the v-values are larger than 2 with the medium of 2.64,in accordance with that v-value is approximately 3 in existing literatures.During the financial crisis,v-values are smaller than 2 in most cases,except China,and the characters of t distribution curves have been changed.Because of the variation limit polity in Shenzhen and Shanghai Stock markets,there are no significant variations of v-values for Chinese stock indexes,which are approximately 3 before and after financial crisis.