A Study on Describing the Statistical Distribution of Returns in Chinese Stock Markets
拟合中国股票市场收益的统计分布

The paper quantitatively investigates the statistical characteristics of returns and rules of market risk in Shanghai stock market and Shenzhen stock market.The paper describes the empirical distributions of returns in Chinese stock markets with three theoretical models namely stable distribution,asymptotic Pareto distribution and truncated Levy distribution.By empirical analysis it is found that the centers of empirical distributions can be effectively explained by stable Levy distribution,and the two tails by asymptotic Pareto distribution with characteristic exponents larger than 2.It is indicated that distributions of returns in Chinese stock markets have limited variance and asymmetric heavy tails.The evidences also support that good events happen more frequently than bad losing events in Chinese stock markets,and the market risk of Shenzhen stock market is bigger than one of Shanghai stock market.The conclusions in the paper will benefit the deep research on volatility modeling,asset pricing and financial risk management and so on in future.