Abstract
This paper analyzes the distribution characteristics of Shanghai and Shenzhen (Shen-Hu) stock index return rate using statistic method. The result shows that: Shen-Hu stock index return rate shows left deviation and fat-tail distribution. Shen-Hu stock index rate do not follow the normal distribution and has no self-correlation. ARCH models based on T distribution of fixed 10 freedom investigate the distribution characteristics of Shen-Hu stock index return rate. The results show that EGARCH model can better describe the characteristics of Shen-Hu stock index return rate. News-driven asymmetricity and “leverage effect” exist in Shen-Hu stock index return rate. In addition, there exists bilateral spillover effect in Shen-Hu market.
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Li, G. (2014). Statistical Analysis of Stock Index Return Rate Distribution in Shanghai and Shenzhen Stock Market. In: Sun, F., Li, T., Li, H. (eds) Foundations and Applications of Intelligent Systems. Advances in Intelligent Systems and Computing, vol 213. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-37829-4_66
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DOI: https://doi.org/10.1007/978-3-642-37829-4_66
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