The Empirical Analysis On The Return Rates And The Correlation Of Shanghai And Shenzhen Stock Market

The fluctuation characteristics of stock index consist of the fluctuation of one single stock index and the fluctuation of multiple stock index. The research on the single stock index is equivalent to the research on distribution characteristics of stock market return.Based on the kernel density estimation,This paper makes full use of the sample data to fit stock yield density curve, which reduce the error effectively caused by assuming the distribution. The research on the multiple stock index is equivalent to the research on the correlation of different stock index. This paper combines connection function with the kernel density estimation,that is equivalent to solve the parameter in the connection function under the condition of no assuming the marginal distribution, which improve the fitting accuracy effectively.Based on the above research methods, This paper complete the static and comparative static analysis to Shanghai and Shenzhen stock market fluctuation among different levels.In thestock market return aspect, we study stock market returns of the market index, the industrial index and individual share prices in china.The results show that Stock index return curve can be fitted accurately and flexibly with the kernel density estimation. Macroscopic level return distribution, the middle level return distribution and micro level return distribution are not normal. Peak and fat tail exist.the more fat left tail demonstrate in Macroscopic level return distribution and the middle level return distribution, which means much investors dislike risks, investors have strong synergistic effect in accordance with bad news; left fat tail and right fat tail exist inmicroscopic stocks, which implicit that the reputation and industry background of one listed company can affect investor’s risk preference.In the correlation aspect, This paper complete the static analysis about the correlation between Shanghai stock market index and Shenzhen stock market index from January1997to July2012, and complete the comparative static analysisabout the correlation between Shanghai stock market index and Shenzhen stock market index before and after September2008when the Financial Crisis occurred. The results show thatthe Gumbel copula function which has a more compact upper tail can describe the correlation characteristics between Shanghai stock market index and Shenzhen stock market index, that is to say when one market has high yield, another market has high possibility to have high yield, but the ranger is narrower than high yield.By the comparative static analysis, we know the degree of correlation between Shanghai stock market index and Shenzhen stock market index improve significantly, that is to say the degree of correlation between Shanghai stock market index and Shenzhen stock market index is more intense in bear market; The relational structure between Shanghai stock market index and Shenzhen stock market index did not happen to change obviously before and after the Financial Crisis, The results show that The Financial Crisis caused by American subprime crisis did not change the relational structure between Shanghai stock market index and Shenzhen stock market index.