宏观经济与股票价格波动之间的关系研究  

Relationship Research Between the Macroeconomy and the Volatility of Share Price

作　　者：张妮[1] 杨一文[1] 

机构地区：[1]西北工业大学管理学院,西安710129

出　　处：《经济研究导刊》2013年第27期150-157,169,共9页Economic Research Guide

基　　金：国家社会科学基金一般项目(13BJY012);教育部人文社会科学研究基金规划项目(09YJAZH073)

摘　　要：利用Copula模型,研究宏观经济变量与上证股指收益率之间的相关关系,在选择合适的边缘分布函数的基础上,分别建立了常相关的二元正态Copula函数、t-Copula函数、Frank Copula函数、Clayton Copula函数以及Gumbel Copula函数模型,并且利用欧氏距离方法选择出最佳拟合Copula模型。选取2001年1月至2011年12月的月度数据作为处理对象,并利用最佳拟合模型分析宏观经济变量与上证股指收益率间相关关系及相关结构,从而揭示了中国宏观经济与股票市场之间的相关性。Copula model was used to study correlation between the macroeconomic variables and the rate of return of Shanghai shares In- dex.Based on the Choice of appropriate marginal distribution function, We built the constant correlation two-variable Copula model, in- cluding the normal Copula function, t-Copula function, Frank Copula function, Clayton Copula function and Gumbel Copula function.Fur- thermore,Euclidean distance method was applied to get the best fit Copula model.we took monthly data from January 2001 to December 2011 as the processing object, and analyzed the correlation and related structures between the macroeconomic variables and the rate of re- turn of Shanghai shares Index making use of the best fit model.Consequently,the correlation between micro-economy and stock market of China was revealed.

关 键 词：COPULA函数 相关关系 宏观经济变量 股指收益率 

分 类 号：F830[经济管理—金融学]