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Determination Of The Threshold Value In Pareto Distribution And Empirical Research In Economics

Posted on:2008-02-23Degree:MasterType:Thesis
Country:ChinaCandidate:J M GaoFull Text:PDF
GTID:2189360215491317Subject:Statistics
Abstract/Summary:PDF Full Text Request
The aim of this paper is: 1. To test whether the returns of index ofChinese stock market can be described with Pareto distribution andconfirm the threshold value of Pareto distribution 2. To test whetherPareto distribution can fit wealth distribution in China.In recent years, more and more researchers use lots of statisticalmethods to study the character of Chinese stock market. Compared withthe perfect stock markets in advanced countries, Chinese stock markethas its unique character as a new stock market. So we must test whetherthe theory and methods of stock markets of overseas can be used in China.This paper make use of Pareto distribution to fit the return of SSEC andthe result is very good.First, we test the normality of SSEC using skewnes, kurtosis and Kolmogorov-Smimov (K-S) test, the result of normality indicates thatreturns of index of Chinese stock market can not be described withnormal distribution affirmed in traditional economy nor Lévy distribution.Then, we test the goodness of fit of the return of SSEC and we find thatPareto distribution can described Chinese stock market very well. Theconclusion can help us re-recognise the Chinese stock market in somenew points of view and predominate the market rules.In distribution field, foreign researchers mostly study on the incomedistribution and wealth distribution on capitalistic countries. With thefruits of this years researching, most of them agree the wealth distributioncan be described with Pareto distribution. So, we need test whether thewealth distribution in China can be fitted with Pareto distribution. Theresult of empirical research indicate that the wealth distribution in Chinaalso can be described with Pareto distribution. This conclusion is in it'sgreat sense for it will help decision-maker establish and regulate theincome distribution policy in China.
Keywords/Search Tags:Pareto distribution, Threshold value, Goodness-of-fit, Empirical distribution function
PDF Full Text Request
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