The End Of The Distribution Of The Stock Market Rate Of Return

In China's securities market, under the effect of the State macro-control policies and the international financial market and other factors, prices of financial assets will fluctuate to some extent, especially to the stock market, which is more sensitive to regulatory policies and international related industries. And because of the effect of these kinds of information, it may lead to a huge stock pricing fluctuation, so investors are facing the risk of huge losses. Under such circumstances, how to reasonably predict the benefits of assets and the loss risk has already become the focus of investors. In view of this, this article does some study for the topic as follows.Firstly, we set up the models for the returns of Shanghai and Shenzhen stock market by means of BMM and POT and compare the models. In order to estimate the tail of the returns of Shanghai and Shenzhen stock market, we find that it is more suitable to use POT to fit sample data than BMM. Then the thesis does some empirical study for the non-symmetry of the tails of stock returns.Secondly, there are two important ways to choose threshold. One is to choose the threshold by observing the changes in parameter estimation caused by u, another is to choose threshold by mean exceedance function method. Because of the importance of threshold selection in POT, the thesis combines the the two ways. Therefore, we can overcome their inherent shortcomings. Futurely, we can select a more appropriate threshold, this lay a foundation for further parameter estimation.Finally, the thesis compares the tails of the returns before and after price limits by using of POT model and shows that price limits play a very important role in effectively protecting the interests of investors and maintaining market stability from the empirical point of view.