Research On Numerical Characteristics Of Empirical Distribution Of Daily Stock Return In Stock Market

Since the1990s, the Chinese stock market has developed for more than20years,and it is gradually maturing. In these days, yields and volatility of the stock market hasalways been a hot topic discussed by all kinds of investors. The experts and scholarshave done a wide variety of research for the volatility of the market and the profitabilityof different stocks during the same time. But the content of the research is mainlyconcentrated on the description of the characteristics of time series and analysis of thelinkage relationships among the various market.The sample dates from January2,2004to December31,2013, containing10years’ daily rate of return of all stocks trading in the market. Based on analyzing thenumerical characteristics of the empirical distribution summarized from statistical data,we found that frequency distribution curve is much different from normal distributioncurve, and it complies with the characteristics of leptokurtosis. When there are abnormalfluctuations appear in the index, it will obviously manifested in the mean of the yield.Then using metering model to analyze factors that might affect this characteristics, theresults show that fluctuations of the index has a positive impact on the mean of theyields, the amplitude value has a negative impact on it, but the temporal trends in thisindicators is not obvious.At the same time, results of the analysis prove that the relationship betweenvolatility of stock index and the number of stocks with higher rising or falling ratemeets the curve of Sigmoid function. We could then predict the theoretical amount ofthe stocks with higher yield rate.Finally, according to the analysis of the results, the investment strategy should be,buy in stock before its raising limit and perform a short-term holdings, simultaneously,sell out stock before its decline limit and wait for the price’s falling down can beprofitable.The conclusion shows that, in our current stock market, the investment behavior aspursuit risen up and abandon got down, is available in a short run. The profitabilitygradually weakened with the extension of holding time. From the view of behavioralfinance, this phenomenon is due to cognitive bias, blindly gamble. From the perspectiveof Effective Market Theory, China’s securities market does not belong to efficient market currently. Oversight mechanisms, laws and regulations need to be established byrelated department as soon as possible.