| Along with our country national economy high growth, our country stock market also will continue to develop, goes on the market company's management condition can unceasingly improve and the enhancement, thus will cause the broad stocks investor to share the investment benefit which the economy will continue to grow brings. However, the stock investment income and the risk often is has the direct ratio, namely the investment income is higher, possibly braves the risk is bigger. Therefore, many investors think through the effective investment profolio enhance the investment income, thus reduces the investment risk. This needs to to go on the market company's stock price carries on the analysis, thus carries on the best investment profolio, gains the ideal investment income. Looking from the negotiable securities market angle, how describes the entire negotiable securities market price behavior pattern and the risk characteristic, the government how strengthens stock market risk supervising and managing and the management, the organization investor, the negotiable securities investment fund and the ordinary investor how invests the risk carries on the analysis appraisal and so on, all is the question which in our country stock market developing process needs to solve. Since continuously, the stock market has been one crisscrossed complex financial system, the stock price behavior way is lets us ascertain with difficulty. This article is precisely under such background, according to the overseas scholar Fama procedure, utilizes discipline specialized correlation theory and the analysis method and SPSS and EVIEWS software and so on the statistics, measurement economic and financial project which studies, and the stock price dynamic behavior two aspects carries on the real diagnosis analysis from our country stock market stock price income rate. This article in since understands the domestic and foreign research theory and in the method foundation, has been established Shanghai, the deep stock market stock price index take our country stock market which has issued as the sample, the sample data mainly originates from " Chinese finance yearbook " various issue, the generalized analysis and absorbs the domestic and foreign stock markets stock price behavior research the theory and the method, the choice suits our country stock market stock price behavior the measurement economic model. In when carries on the real diagnosis analysis to the stock price income rate distribution, this article through introduces Laplace distribution substitution past people's commonly used normal distribution portrays stock price income rate distribution, to Shanghai, the deep two cities stock price income rate data carries on the analysis, the real diagnosis indicates, two cities stocks income rate distribution all presents " the peak fat tail " in any case condition the characteristic, demonstrates Laplace distribution ratio normal distribution fitting efficiency has distinct enhancement; This article also selected 180 indexs which the Shanghai stock market in 2002 promoted takes the sample, with the R/S analytic method analysis stock market price change tendency, established the reasonable linear return model, carried on the real diagnosis analysis to the stock price dynamic behavior. The real diagnosis result indicates, our country stock market stock price change has in the time positive correlation, is has the memory and over the tendency stochastic process, is not the dimension natrium process which we usually said, but, this long-term memory effect in theoretically is infinite, but in actual center it is limited, will lengthen along with the time gradually abates. Finally, this article summarized the main conclusion which in the paper research process obtained, and in in the real diagnosis analysis foundation, in view of the our country stock market actual situation and the reality existence question, proposed the standard stock price behavior, consummated our country stock market certain suggestions. |
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