“金砖四国”股票市场间相依结构分析

金融市场间的相依关系及其结构分析是金融风险测度、资产组合管理等金融理论和实务中的一个重要问题,而基于线性相关系数是难以正确刻画非线性条件下金融资产间的相关结构,特别是尾相依关系。为研究"金砖四国"新兴股票市场间的相依结构,文章构建了一个混合Copula模型,对"金砖四国"股票市场间的相依结构进行建模分析,并将结果与单一阿基米德Copula模型进行了比较,表明混合Copula模型既能保留单一Copula模型的特性,更能灵活、全面地刻画变量间的相依关系。实证研究的结果表明:在样本数据期间,"金砖四国"股票市场间存在非对称相关关系,相依结构上存在差异;中国上证综指波动较为剧烈,与其它三国指数间以下尾相依为主;巴西、印度、俄罗斯三国股指间的相依结构相似,联动相关性相近,并无显著的下尾相依关系。

Analysis on Dependence Structure Among BRICs Stock Markets

It is a important issue in financial theory and practice,such as financial risk measurement,portfolio management,to analyze the dependence structure across international financial markets.But in nonlinear situation,the linear correlation coefficient is difficult to describe the dependence structure among financial assets,especially the tail dependence.In order to analysis the dependence structure among BRICs stock markets,this paper constructs a mixture copula model,that has features of single Archimedean copula function,but more flexible and comprehensive to capture different dependence patterns.The empirical Study shows that during the sample period,the dependence structure among BRICs stock markets is asymmetry and difference.China’s Shanghai Composite index is more volatile and following tail dependence with the other three indices,the dependence structure among Brazil India Russia indexes are similar and the lower tail dependence are not significant.