股市流动性与收益的Copula尾部相关性分析

将Copula函数引入风险管理,可以更加准确地反映变量间的相关结构,尤其是尾部相关特征,而混合Copula函数的使用又可以捕捉到不同的相关结构。应用Copula函数对中国股市收益和流动性在尾部的相关关系的实证研究结果表明:在中国证券市场上,收益和流动性存在同时发生极值的一致性,但拒绝了收益与流动性的尾部对称相关结构,上尾的相关系数大于下尾的相关系数。

Copula Tail Dependence Patterns between Returns and Liquidity

Copula function is introduced to risk management in order to accurately reflect the correlation between variables,especially tail-related features. A mixed copula model is constructed so that it can capture various patterns of dependence structures. So the tail dependence patterns between returns and liquidity on China stock markets by Copula techniques is discussed. The empirical findings show that it is consistent that returns and liquidity are of simultaneous extreme value, but tail symmetric dependence structure is rejected. The upper tail dependence is larger than the lower tail dependence.