A Number Of Conditions The Rate Of Return Distribution And Its Application Research

The distribution of the stock yield is an extremely important concept of modern financial theory.It is generally believed that most stocks possess normal distribution,the stock yield distribution has nothing to do with price,and the stock market is effective.But in paper[6],Xiao Chun-lai,etc,assumed that the conditional distribution theory will encounter difficulties in application of the risk theory because of the changed statistical characters of the distribution which is changing as the external and internal conditions of stock market are changing. Therefore,the hypothesis that the statistical characters of stock yield distribution are stable in a certain period of time is not fitted with the actual market situation. In fact,in paper[7],CHAI Wen-yi points that the stock price has some weakly negative relation with stock yield by studying native and foreign stock markets. Xiao Chun-lai,CHAI Wen-yi have gotten the formulas of the statistical characters of stock yield distribution and VaR_t based on the hypothesis that the stock yield and price possess the joint normal distribution in paper[8].However,as the stock market is changing time in time and full of complexities,the stock yield is affected by many factors.The mean priceμ, varianceσ~2 and the autocorrelation coefficientρin the stock yield distribution determined by price can no longer be seen as constant,but variables,that isμ~2,σ_t~2 andρ_t,which makes the stock yield distribution more fitted with the actual market.Therefore,studying the stock yield distribution determined by multi- conditions is particularly important and urgent.In this paper the inaccuracy of VaR brought by the stock yield distribution determined by the stock price is firstly analyzed.The result is that the mean priceμ,varianceσ~2 and autocorrelation coefficientρshould be seen as variables rather than the constant which can be achieved by using moving average method.Secondly,through studying 20 stocks,we initially specified the moving-average range,and it initially demonstrates that the stock yield distribution is not only determined by the price,but also by the mean priceμ_t, varianceσ_t~2 and autocorrelation coefficientsρ_t.That is,the stock yield distribution possesses multi-conditional distribution.Thirdly in order to make the price meanμ_t,varianceσ_t~2 and autocorrelation coefficientsρ_t predictable and practical,their predicted models are set up in this paper.Lastly the predicted models are used to calculate VaR_t,and their predicted effects had been tested.The results show that,the VaR_t calculated by the predicted value is more accurate than that of calculated by the moving average value,which further shows that the stock yield possesses the multi-conditional distribution.