| 基于时变Copula的我国股票市场联动性研究 |
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| 引用本文： | 李梦玄,周义.基于时变Copula的我国股票市场联动性研究[J].商业经济(哈尔滨),2011(8):109-112. |
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| 作者姓名： | 李梦玄 周义 |
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| 作者单位： | 中南财经政法大学金融学院;华中农业大学经管学院; |
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| 基金项目： | 华中农业大学人文社科资助项目 |
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| 摘 要： | 通过运用Copula技术,构建4种Copula-GARCH模型,讨论金融市场的相关模式问题得出的结论是Joe-ClaytonCopula比正态Copula好,动态模型比静态模型要好。表明沪港股市确实存在非对称的相关变化规律。同时表明沪、港股票市场股市相关程度较小,两个市场联动性较弱,上海股市的波动具有相对的独立性,通过组合上海股市和香港股市的方式可以较好的降低投资风险。
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| 关 键 词： | 时变Copula 股票市场 联动性分析 |
Linkage Study of China's Stock Market Based on Time-vary Copula |
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| LI Mengxuan,ZHOU Yi.Linkage Study of China's Stock Market Based on Time-vary Copula[J].Business Economy,2011(8):109-112. |
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| Authors: | LI Mengxuan ZHOU Yi |
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| Institution: | LI Mengxuan,ZHOU Yi |
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| Abstract: | This paper applies the Copula technology to construct four Copula-GARCH models,discusses the related problems on financial market,and concludes that Joe-Clayton Copula is better than normal Copula,and dynamic model is better than static one.It means that Hong Kong and Shanghai Stock Markets show asymmetrically related changes.Meanwhile,the research shows that the lower correlation exists and the linkage is weaker between Hong Kong and Shanghai Stock Markets,and the volatility of Shanghai Stock Market is ind... |
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| Keywords: | time-varying Copula stock market linkage analysis |
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