STATISTICAL STUDY OF THE CHINESE STOCK MARKET

When we consider stock markets, it is important to identify theoretical models that fit actual stock market behavior. It is known that the stock price can be approximated by a lognormal distribution. The academic field, however, consider it the first order approximation and many alternative processes, such as Levy process, are proposed to better model the fat tail behavior. In this study, we use the Kolmogorov-Smirnov test and the chi-square test to check the fitness of the Chinese stock market, a market that has particular characteristics as compared to mature Western markets, with lognormal distribution. Based on the data of fifteen most representative stocks in Chinese market, we find that almost of the stock prices do not have the lognormal process. But the implementation of the split share structure reform program provide evidence to make the process of the stock price tend to have the lognormal process, gradually