美国金融危机期间国际股票市场相依性分析——基于Copula函数  

Analyzing the Dependence Structure of International Stock Markets in the Financial Crisis of the US ——A Copula-GARCH Approach

作　　者：吴恒煜[1] 索蕾[1] 

机构地区：[1]广东商学院经济学院

出　　处：《广东培正学院学报》2011年第4期1-9,共9页Journal of Guangdong Peizheng College

基　　金：国家自然科学基金项目(70861003);教育部人文社科学研究一般项目(10YJA790200)资助

摘　　要：选取尾部相依性、超值相依性和线性相依指标分别拟合五国股票收益率的相依结构,采用Copula-GARCH模型,在金融危机背景下,对美日英法德五国股票经验数据进行实证分析。结果显示,在六种Copula函数中Student-t Copula和SJC Copula对金融相关性的描述具有最好效果;危机后五国股市相依性仍然显著并增强,具有更明显的不对称相关性,说明股票在市场低迷时期的相依性高于活跃时期的相依性;研究还发现德国在危机后的相依结构中表现突出,德国的救援政策给中国应对危机带来众多启示。This paper aims to investigate the dependence structure of the five stock markets in the US,Japan,Britain,France and Germany by using exceedance correlation,tail dependence and linear correlation under the circumstance of financial crisis.Meanwhile,the dependence structure of the five countries is modeled by applying a copula-GARCH approach.Student-t copula and SJC Copula yield better log-likelihoods.The findings indicate that the financial crisis has a significant influence on dependence relationship of international stock market and the dependence remains significant but stronger.And the asymmetric correlation has become significant after the crisis.The five countries act very differently,and German policies have worked more significantly among others,which can much enlighten China in tackling financial crisis.

关 键 词：COPULA函数 超值相关性 尾部相关性 GARCH 股票收益率 

分 类 号：F830[经济管理—金融学]