上证综指与深证成指——excel数据分析.xls

上证综合指数深证成指日期收盘点位百分比收益率对数收益率收盘点位百分比收益率2009-12-313,277.139013,699.97002008-12-311,820.805079.98%25.52%6,485.5130111.24%2007-12-315,261.5630-65.39%-46.09%17,700.6211-63.36%2006-12-312,675.474196.66%29.37%6,647.1392166.29%2005-12-311,161.0570130.43%36.25%2,863.6121132.12%2004-12-311,266.4960-8.33%-3.78%3,067.5701-6.65%2003-12-311,497.0439-15.40%-7.26%3,479.7959-11.85%2002-12-311,357.654110.27%4.24%2,759.300026.11%2001-12-311,645.9700-17.52%-8.36%3,325.6600-17.03%2000-12-312,073.4700-20.62%-10.03%4,752.7500-30.03%1999-12-311,366.580051.73%18.11%3,369.610041.05%1998-12-311,146.700019.18%7.62%2,949.310014.25%1997-12-311,194.1000-3.97%-1.76%4,184.8400-29.52%1996-12-31917.010030.22%11.47%3,215.820030.13%1995-12-31555.290065.14%21.79%987.7500225.57%1994-12-31647.8700-14.29%-6.70%1,271.0500-22.29%1993-12-31833.8000-22.30%-10.96%1992-12-31780.39006.84%2.88%1991-12-31292.7500166.57%42.58%上证综合指数百分比收益率法对数收益率法平均0.271781459平均0.058277664标准误差0.141868834标准误差0.049764022中位数0.085554868中位数0.035597798标准差0.601898486标准差0.211130865方差0.362281788方差0.044576242峰度0.362668574峰度0.918152966偏度0.913935777偏度-0.368647548区域2.31966379区域0.886666129最小值-0.653942184最小值-0.460851338最大值1.665721605最大值0.425814792求和4.892066261求和1.048997959观测数18观测数18最大(1)1.665721605最大(1)0.425814792最小(1)-0.653942184最小(1)-0.460851338置信度(95.0%)0.299317073置信度(95.0%)0.104992908深证成指百分比收益率法对数收益率法平均0.377361216平均0.068837132标准误差0.215187395标准误差0.066206994中位数0.142507909中位数0.057859215标准差0.833417198标准差0.256418584方差0.694584226方差0.06575049峰度0.34144813峰度-0.241832503偏度1.1014283偏度0.067123331区域2.889302047区域0.948688865最小值-0.633599693最小值-0.436044171最大值2.255702354最大值0.512644694求和5.660418245求和1.032556981观测数15观测数15最大(1)2.255702354最大(1)0.512644694最小(1)-0.633599693最小(1)-0.436044171置信度(95.0%)0.461531059置信度(95.0%)0.141999878计算年限为1994年—2008年利用百分比收益率法计算时，上证综指与深证成指的相关系数：0.87利用对数收益率法计算时，上证综指与深证成指的相关系数：