我国上市证券公司股价波动关联性研究  

Stock Price Fluctuation Correlation of Listed Securities Companies

作　　者：周琼[1] 袁闯[2] 周晖[3] 

机构地区：[1]中南财经政法大学公共管理学院,湖北武汉430064 [2]湖南大学经贸学院,湖南长沙410000 [3]浙江财经学院,浙江杭州310018

出　　处：《证券市场导报》2013年第2期37-42,共6页Securities Market Herald

基　　金：国家自然科学基金"我国逆周期金融监管机制研究"(71173180)的阶段性研究成果

摘　　要：证券公司股价是证券公司经营状况以及风险水平的集中反映,其波动的关联性往往是证券公司风险关联性以及证券行业发生系统性风险的重要表现。运用Copula函数对我国8家主要上市证券公司股价收益率上、下尾相依性进行的实证研究表明,我国证券公司之间股价收益率存在明显的上尾相依性与下尾相依性,表明我国证券公司股价进而风险存在较强的关联性。做好证券公司股价关联性的监测,降低其风险的关联性,是防范系统性金融风险的重要内容。Abstract： The stock price of a securities company is tile reflection of its operating conditions and risk level, and the price fluctuation correlation is usually an important indication of securities companies risk correlation and the systematic risk of the entire securities industry. Using Copula function to empirically analyze the stock yields cozTelation of 8 maior listed securities companies, we found obvious up-tail correlation and down-tail correlation, showing our securities companies＇ stock prices strongly correlated with the risk. The key factors to prevent systematic financial risk are the supervision of securities companies＇ stock prices correlation and reducing their risk correlation.

关 键 词：COPULA函数 证券公司 股价波动 股价关联性 

分 类 号：F832.5[经济管理—金融学]