基于R藤copula的深圳股票市场系统风险分析  

The Measurement of Systematic Risk from Shenzhen Stock Market Based on R Vine Copula

作　　者：张国富[1] 杜子平[1] 

机构地区：[1]天津科技大学经济与管理学院,天津300457

出　　处：《金融经济学研究》2014年第3期76-87,共12页Financial Economics Research

基　　金：国家自然科学基金项目(71071111);天津市哲学社会科学规划项目(TJYY13-047)

摘　　要：利用深圳成分指数所包含的部分股票及其所属行业指数的日收益数据,构建了基于行业(sector)和市场(market)的R藤,给出了各股票对行业和市场及各股票间的相依结构,并借助RVMS模型测算了各股票的系统风险和非系统风险。结果表明,各股票行业风险差异很大,采掘业各股票的行业风险均值比其他三个行业风险均值高,说明采掘业股票自包含性最强。相对于行业风险,所有股票的市场风险在各自所属行业的条件下都相对较小,有些股票的市场风险接近于零,表明这些股票与市场之间的条件相依程度很低,它们与市场几乎相互独立。一些股票的非系统风险较高,表明这些股票与其它股票的相依性要高于与行业或者市场的相依性。Using daily returns of stocks of Shenzhen component index and four sector indices which they belong to,this paper constructs an R vine which focuses on their dependencies to the market and the respective sector. Furthermore,based on the RVMS model proposed by Brechmann and Czado（ 2011）,it identifies the systematic and the idiosyncratic risk inherent in every stock. The empirical result suggests that sector risk is quite variable across different stocks,and the mean sector risk among stocks from mining is higher than that of the other three sectors,which means the stocks belonging to mining are evidently more strongly self-contained. Conditionally on the respective sectors,the market risk,compared to sector risk,is much smaller for all stocks,and even zero for some stocks. The rather high idiosyncratic risk of some stocks can be explained by major dependencies on other stocks rather than the sector or the market.

关 键 词：系统风险 相依结构 R藤copula 

分 类 号：F830.91[经济管理—金融学]