摘要
本文对沪深股市收益率的统计特性进行了讨论 ,检验了收益率分布的非正态性和独立同分布性 .就其独立同分布假设被拒绝的原因从相关和不同分布两方面进行了详细的分析与研究 .结果表明 :沪深股市收益率存在一定的自相关性 ,但相关程度很弱 ,不足以用来作为解释对其独立同分布假设拒绝的理由 ;均值的时变性不显著 ,但方差是时变的 ,均值与时变的方差一起可作为对独立同分布假设拒绝的原因 .
This paper explores in detail the reasons of the rejection of independent and identically distributed (IID) hypothesis of the returns of Shanghai and Shenzhen stock markets from two aspects, the autocorrelation, and the time-varying means and variances. The results show that though there are some auto-correlations for Shanghai and Shenzhen return series, the degree of auto-correlation is very low. The time-varying of the means of the returns is not significant. The variances of the returns are time-varying, and this is just the reason that reject the IID of the returns.
出处
《数学的实践与认识》
CSCD
北大核心
2002年第2期228-233,共6页
Mathematics in Practice and Theory
基金
国家自然科学基金 ( 79930 90 0 )资助
