Empirical Analysis On Return Distribution Of SSE Composite Index

Empirical data shows the distribution of stock is lepto-kortursis and has thick tails. Such data are poorly descried by traditional Gussian model, but possibly can be described by a stable distribution. As they can capture the characteristics of thick tails stable distribution have now received great attention in financial area. This paper try to fit stock returns in Shanghai Stock Market with stable distribution and results show that it really provides a better fitting on the daily stock returns.