次贷危机后国际股票市场相关性变动的Copula分析  

Using Copula to Analyse the Changes of Dependence Structure of International Stock Market After Subprime Crisis

作　　者：刘喜波[1] 林泽波 

机构地区：[1]北方工业大学理学院,北京100144

出　　处：《数学的实践与认识》2009年第24期31-35,共5页Mathematics in Practice and Theory

基　　金：北京市属市管高等学校人才强教计划资助项目;北京市教委科技项目

摘　　要：基于C opu la函数导出的尾部相关性,以四个国家的股票指数的对数收益率序列为研究对象,分析了次贷危机前后国际股票市的相关结构变动,结果表明次贷危机后国际股票市场尾部相关系数比危机前大,这说明次贷危机对国际股票市场的相关结构产生了重大影响,危机期间各国的股票市场联系更加紧密.This essay bases on the tail dependence derived from Copula function, using the series of logarithmic returen yield of four countries＇ stock index to analyse the changes of dependence structure of international stock market after the breakout of the subprime mortgage crisis. The results indicate that after the subprime crisis the tail dependences become stronger than that before. It shows that the subprime crisis has a significant impact on dependence structure of international stock market. During the crisis the relations of international stock markets become closer.

关 键 词：COPULA函数 尾部相关性 秩相关系数 

分 类 号：F224[经济管理—国民经济] F831.51