中国股票市场相关性分析  

The Correlation Analysis of China Stock Market

作　　者：王胜本[1] 徐晓肆[1] 陈瑛[1] 

机构地区：[1]华北煤炭医学院管理系,河北唐山063000

出　　处：《山东科技大学学报（自然科学版）》2008年第6期96-101,共6页Journal of Shandong University of Science and Technology(Natural Science)

摘　　要：相关性在金融风险管理中有着重要作用。利用一致性相关系数τ研究沪深股市与行业之间的相关性,并通过copula函数进一步研究它们之间的尾部相关性,最后用2005年的股票市场数据进行实证分析,为投资者投资决策和监管部门有效监管提供参考,对防范和控制股票市场风险、维护金融市场稳定发展具有较大的积极作用。The correlation plays an important role in management of financial risk. The paper uses concordant coefficient r to study the correlation between the industries and Shanghai and Shenzhen Stock Markets, and furthermore, also uses the copula function to study the tails dependency between them. At last, we conduct a positive analysis by using the stock data of 2005, which can give some references for investors and supervisors to make decisions and has some effects on the prevention and control of the stock market risk and stabilization of the financial market.

关 键 词：金融风险 相关系数 τ COPULA函数 尾部相关性 

分 类 号：F830.91[经济管理—金融学]