国际主要股票市场联动性——基于藤Copula-HAR-RV模型  

The Comovement in Major International Stock Markets——Based on the Vine Copula-HAR-RV Model

作　　者：朱鹏飞 唐勇 张仁坤 ZHU Peng-fei;TANG Yong;ZHANG Ren-kun(School of Management,Fuzhou University,Fuzhou 350116,China Key Laboratory of Financial Mathematics(Putian University),Fujian Provice University,Putian 351100,China;Fujian Provincial Key Laboratory of Finance and Technology Innovation,Fuzhou 350116,China)

机构地区：[1]福州大学经济与管理学院,福建福州350116 [2]金融数学福建省高校重点实验室(莆田学院),福建莆田351100 [3]福建省金融科技创新重点实验室,福建福州350116

出　　处：《系统工程》2018年第9期16-29,共14页Systems Engineering

基　　金：国家自然科学基金资助项目(71171056;71573042;71473039);福建省社科规划重大项目(FJ2017Z006);福建省自然科学基金资助项目(2017J01518);金融数学福建省高校重点实验室(莆田学院)开放课题(JR201804)

摘　　要：随着经济一体化和金融全球化进程的不断加快,世界各国股市间的联动效应越发显著。针对已有研究的不足,利用HAR-RV模型将高频信息和不同频率已实现波动纳入到边缘分布建模过程,基于藤Copula刻画五个国际主要股市间的相依结构,构建了描述股市联动的藤Copula-HAR-RV模型。结果表明:R藤Copula-HAR-RV模型在拟合优度和投资组合分位数预测方面表现最优;国际主要股市相依结构呈现区域集聚特征,香港股市占据中心地位;藤结构中条件市场的加入能够大幅降低股市联动,R藤Copula-HAR-RV相依结构下构建的投资组合具有较好的避险效果。此研究对于市场监管政策制定、风险管理、资产配置等一系列金融实践活动具有理论参考价值和现实意义。With the rapid development of economic integration and financial globalization,the comovement effects among the stock markets in the world are increasingly obvious.In view of the deficiency of existing research,the high frequency information and the realized volatility measure of different trading frequency are incorporated into the edge distribution modeling process by using HAR-RV model,the interdependent structure among five major international stock markets is described based on the vine copula model,we build a vine copula-HAR-RV model for describing comovement in stock markets.The results are as follows:First,the R vine copula-HAR-RV model performs best in both the goodness of fit and the quantile prediction of portfolio.Second,the interdependent structure among major international stock markets presents regional agglomeration characteristics,and Hongkong stock market occupies a central position.Third,adding conditional market to the vine structure can significantly reduce the comovement in stock market,and the portfolio has a good hedging effect under the R vine copula-HAR-RV interdependent structure.This research has theoretical reference value and practical significance for a series of financial practices,such as market supervision,policy formulation,risk management,asset allocation and so on.

关 键 词：股市联动 藤Copula HAR-RV 投资组合 

分 类 号：F831[经济管理—金融学]