Research On The Fluctuation Of Stock Returns In China Market

Return of financial assets is a very important concept in financial economics. The right description to the fluctuation of stock returns is related to the exactness of choosing securities association, the validity of risk management, the rationality of pricing options. This article mainly aims to empirical analyses to the fluctuation of Shanghai Synthesis index returns and Shenzhen composition index returns. The following are the main contents.The basic statistical characteristics on the returns of stock market in China. Through studying the basic statistic, independent and correlation, test of normality , test of fat tail , test of stationary, ARCH effect of Shanghai and Shenzhen Stock market etc, some conclusions can be acquired: The returns series of Shanghai and Shenzhen Stock market is not independent but has a long-range correlation, and is disobedient normally distribution but has obvious peak and fat tail; The returns series of Shanghai and Shenzhen Stock market has certainly stationary and ARCH effect; The fluctuation of the Shanghai stock market is over and above the one of Shenzhen. The former has more obvious lever effect than the later.The long-range correlation of the returns in Chinese stock market. Onthe basis of the review of the analysis method on the long-range correlation of the time series, as for the series of the three kinds of forms of the returns of Shanghai and ShenZhen Stock Markets, we adopt the DFA method relatively appropriate for realistic stock market of China to carry out the whole long-range correlation analysis, partial long-range correlation analysis and mark a scale constant analysis.Then we get draw a conclusion: there is an evidence of long-rang correlations for the three returns, and the intensity of correlation of the absolute returns is the strongest. Neither of the scale indexes of the three kinds of forms of the returns of Shanghai and Shenzhen stock markets complies with a consistency, but both appear a complex function of time scale and show a multi-scale character. The series of the returns of Shanghai and Shenzhen stock...