<journal article>
STATISTICAL STUDY OF THE CHINESE STOCK MARKET

Creator
Language
Publisher
Date
Source Title
Vol
First Page
Last Page
Publication Type
Access Rights
Crossref DOI
Related DOI
Related URI
Relation
Abstract When we consider stock markets, it is important to identify theoretical models that fit actual stock market behavior. It is known that the stock price can be approximated by a lognormal distribution. ...The academic field, however, consider it the first order approximation and many alternative processes, such as Levy process, are proposed to better model the fat tail behavior. In this study, we use the Kolmogorov-Smirnov test and the chi-square test to check the fitness of the Chinese stock market, a market that has particular characteristics as compared to mature Western markets, with lognormal distribution. Based on the data of fifteen most representative stocks in Chinese market, we find that almost of the stock prices do not have the lognormal process. But the implementation of the split share structure reform program provide evidence to make the process of the stock price tend to have the lognormal process, gradually.show more

Hide fulltext details.

pdf p001 pdf 207 KB 314  

Details

PISSN
EISSN
NCID
Record ID
Peer-Reviewed
Subject Terms
Type
Created Date 2013.02.07
Modified Date 2020.10.22

People who viewed this item also viewed