The returns distribution research is a very important branch of contemporary finance theory. This thesis uses the 5 minute interval high frequency data of Chinese stock market from Jan 1st 1998 to Dec 31st 2003. And selects 30 stocks from all kinds of industries and the daily data of mainly global stock market index including emerging market and developed market.
The main research contents include: 1.the different statistic character of returns distribution during different time range. 2. the intraday and weekly effect under the high frequency data. 3. fit the distribution function with different functions. 4. test the behavior of stock price. 5.compare the different of returns distribution character between stock market index.
After the research, I have concluded that: 1. the distribution character of different stocks during different time are discriminative.2. the coefficients of 5 minute time auto regression series are correlate during 30 minutes. 3. both the average and variance of returns have intraday effect. 4. the stable distribution fit the stocks returns distribution best. 5. compare with the research of Zhongrongsha(1999), the characters of market index distribution have changed evidently recent years, including both the emerging and developed market.
The main research contents include: 1.the different statistic character of returns distribution during different time range. 2. the intraday and weekly effect under the high frequency data. 3. fit the distribution function with different functions. 4. test the behavior of stock price. 5.compare the different of returns distribution character between stock market index.
After the research, I have concluded that: 1. the distribution character of different stocks during different time are discriminative.2. the coefficients of 5 minute time auto regression series are correlate during 30 minutes. 3. both the average and variance of returns have intraday effect. 4. the stable distribution fit the stocks returns distribution best. 5. compare with the research of Zhongrongsha(1999), the characters of market index distribution have changed evidently recent years, including both the emerging and developed market.