基于藤结构Copula模型的中国股市风格资产相依结构研究  

An Empirical Research on Dependence of Style Assets in Chinese Stock Market Based on Vine Copula Model

作　　者：郭文伟[1] 

机构地区：[1]广东财经大学金融学院,广东广州510320

出　　处：《经济数学》2013年第4期62-70,共9页Journal of Quantitative Economics

基　　金：国家社会科学基金资助项目(12CJY006);广东省自然科学基金资助项目(S2012040008073);广州科技计划项目(2013Y4300023)

摘　　要：首先采用AR(1)-GJR(1,1)-SkT(v,λ)模型来刻画中国股市风格资产(大盘成长、大盘价值、中盘成长、中盘价值、小盘成长、小盘价值)的边缘分布,接着结合各边缘分布的残差,引入C-Vine Copula和D-Vine Copula模型来描述这六种风格资产之间的相依结构,然后对基于C-Vine Copula和D-Vine Copula模型的拟合效果进行综合比较.研究结果表明:中国股市各风格资产之间的相依性存在结构性差异,最适合用D-Vine Copula模型来刻画各风格资产之间的相依结构.同类型的风格资产之间的相依程度比不同类型风格资产之间的相依程度要高;在同一类型的风格资产中,资产规模差距越大的风格资产之间的相依系数就越小.无条件的风格资产收益系列之间的相关性要显著大于有条件的风格资产收益系列之间的相关性;最后根据研究结论提出了降低风格资产组合风险的资产配置建议.This paper firstly described the marginal distribution of style assets in Chinese stock market based onAR（1） GJR（1,1） SleT（v,） model. The kinds of style asset in this analysis includes large-cap growth, large-cap value, median-cap growth, median cap value, small cap growth and small-cap value. And then, we introduced Vine Copula functions to ana lyze the dependence among these style assets. Finally, we made a comprehensive comparison between C-Vine Copula and I Vine Copula model according to their fitting effect in order to select the best Vine Copula. The result shows that there are structural differences among these styles assets dependence in Chinese stock market. D-Vine Copula model can best describe the dependence structure among these styles assets. On the whole, the dependence between the same kinds of style assets is larger than that between different kinds of style assets. Among the same kind of style assets, the greater the gap between style assets size, the smaller the dependence. Unconditional dependence is larger than that of the conditional dependence among Vine Copula model, and some advice was given to reduce the risk of style portfolio according to research findings.

关 键 词：股市风格资产 相依结构 IYvine COPULA C VINE COPULA Pair—Copula 

分 类 号：F830.9[经济管理—金融学]