中美股票市场相依性研究——基于Copula的非参数估计和检验  

A Research on Dependency of Stock Markets between China Mainland and the Unite States-Based on a Nonparametric Estimation and Test of Copula

作　　者：张秀琦[1] 唐吉洪[2] 任永昌[2] 

机构地区：[1]渤海大学课程与教学研究中心,锦州121000 [2]渤海大学信息科学与技术学院,锦州121000

出　　处：《科学技术与工程》2012年第14期3424-3427,3431,共5页Science Technology and Engineering

基　　金：2010年度教育部人文社科研究(10YJCZH120);2011年度渤海大学教改项目"信息;管理与信息系统专业统计学立体化教学改革探讨与实践"资助

摘　　要：以金融危机发生前后上海综合指数和s&p指数为样本分析中美股市的相依结构,通过样本秩相关系数估计Copula函数中的参数,并利用卡方统计量对估计出来的Copula函数进行非参数拟合优度检验。结果表明,上海综合指数与s&p指数存在较弱的对称相依结构,协同运动并不明显,股票市场受美国次贷危机的影响较小;尾部相依性显示二者之间渐近对称性独立,但并不存在明显的传递依赖关系,投资者可以选择资产组合分散化风险投资。Taken the data of ShangHai comprehensive index and sp index before and after the financial crisis in 2007 as sample,the dependency of stock markets between China mainland and the unite states is explored and the Unite States and estimated the parameters of five kinds of copula functions through the correlation coefficients of sample and made a nonparametric test of goodness of fit by χ2 statistic.The results indicate it presented weaker symmetry dependent structure of Shanghai comprehensive index and sp index.The stock market is less influenced by U.S.subprime crisis.Tail dependency manifested that there existed the asymptotic independent behavior of them and didn＇t have obvious transitive dependent relationship.Investors can choose asset procfolio to make investment risk decentralization.

关 键 词：股票市场 相依性 COPULA函数 拟合优度检验 

分 类 号：F224.9[经济管理—国民经济]