基于Copula函数模型的股市交易量与股价相依关系  

The Dependence Relationship Between the Volume and the Price of Stocks Based on the Copula Model

作　　者：易文德[1] 

机构地区：[1]重庆文理学院数学与统计学院,重庆402160

出　　处：《系统工程》2010年第10期36-41,共6页Systems Engineering

基　　金：教育部人文社会科学研究项目(08JA790142)

摘　　要：股市交易量与股价变化的相依关系一直是学术界和投资分析人士所研究的热点问题。研究交易量与股价的相依关系不仅要研究它们之间的相依程度而且还要研究它们之间的相依结构。应用ARMA(2,1)模型对交易量变量的序列相关性进行修正,基于Copula函数模型研究三个股票市场的交易量与股市指数收益率的相依程度和相依结构。通过χ2检验研究发现:混合Copula函数模型能够刻画交易量与股价之间的相依结构,通过了假设检验;交易量与股价之间存在上尾高下尾低的非对称相依关系且混合有负相依现象,但它们之间的负相依程度较弱。In the analysis of stock markets,the dependence relationship between the trade volume and the stock price volatility is always a hot issue the academy and the investors would like to study.It is necessary not only to study the degree of dependence but also to investigate the structure of dependence in our analysis of the dependence relationship between the trade volume and the stock price volatility.In this paper,the ARMA（2,1） model is employed to correct the serial correlation of the trading volume variables,and the copula model is applied to investigate the measure and the structure of dependence between the trade volume and the stock price index returns in three stock markets.The research shows that the mixed copula model is accepted according to the χ2-test of the model which describes the dependence structure between the trade volume and the stock price returns,and there is an asymmetrical dependence of higher upper tail dependence with the negative dependence,but the measure degree of the negative dependence is not strong.

关 键 词：COPULA函数 相依结构 交易量 指数收益率 

分 类 号：O212[理学—概率论与数理统计]