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《计算机技术与发展》[ISSN:1006-6977/CN:61-1281/TN]

卷:

期数:

2013年03期

页码:

245-248

栏目:

应用开发研究

出版日期:

1900-01-01

文章信息/Info

Title:

An Empirical Research on Dependency of Chinese Stock Markets Based on Copula

文章编号:

1673-629X（2013）03-0245-04

作者:

唐吉洪¹; 管昊¹; 吴云勇²

[1]渤海大学 信息科学与技术学院;[2]沈阳理工大学 应用技术学院

Author(s):

TANG Ji-hong; GUAN Hao; WU Yun-yong

关键词:

股票市场; Copula理论; 相依结构; Q-Q拟合优度检验

Keywords:

stock market; Copula theory; dependent structure; Q-Q test of goodness of fit

文献标志码:

A

摘要:

股票市场具有优化社会资源配置、提高资本效率、准确揭示价格信息等功能,是宏观经济的晴雨表.实证研究中国各股票市场相依性,不仅可以使投资者能够根据其关联性优化投资决策,而且可以为相关部门提高股票市场的运行效率及监管提供重要的现实参考依据.文中运用Copula理论及样本秩相关系数实证分析了深沪股市的相依结构及程度并运用Q-Q图对其进行了拟合优度检验.结果表明,两地股市日收益率高度相关,通过Q-Q图拟合优度检验,认为t-Copu-la能有效刻画两者相依结构,其收益率波动性强,并对称相依,但尾部相关性并不显著

Abstract:

Stock market has functions of optimizing allocation of social resources,improving capital efficiency and accurately revealing the price information,and so on. What's more,the stock market is a barometer of macroeconomic. To empirically analyze the dependency of Chinese stock markets,it can not only easily make investors optimize their investment portfolio according to the resulted dependency,but also provide referential basis for improvement of stock market operation efficiency and supervision. It empirically analyzes dependency of Chinese stock markets by Copula theory and rank-correlation coefficient. The results indicate the dependency of Chinese stock markets is highly correlated, and manifest t-Copula can effectively portray their dependency structure of Shenzhen and Shanghai markets through Q-Q test of goodness of fit. Both markets characterize with violent vacillation,but have weak tail dependence

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更新日期/Last Update: 1900-01-01