中国创业板和主板市场之间的相关结构分析——基于Copula函数的实证研究  

Empirical Research on Related Structures between China's GEM and Main Board Markets Based on Copula Models

作　　者：乔云霞[1] 程栋梁[1] 

机构地区：[1]北京工商大学经济学院,北京100048

出　　处：《北京工商大学学报（社会科学版）》2014年第6期73-83,共11页JOURNAL OF BEIJING TECHNOLOGY AND BUSINESS UNIVERSITY:SOCIAL SCIENCES

摘　　要：了解创业板与主板市场间的关系,对于理解两个市场的互动关系以及证券组合的设计和风险评估至关重要。文章利用创业板指数、沪深300指数数据,借助ARMA-GARCH-Normal-Copula和ARMA-GARCH-T-Copula模型分析了创业板和主板之间的相关结构。研究表明:创业板市场的波动要大于主板市场,创业板和主板存在一定的正相关关系,并且存在非对称的尾部结构;在尾部(上尾和下尾)上,创业板对主板的变化反应比主板对创业板的变化反应更强。The comprehensive understanding of GEM and main board markets is to help understand the relationship between the two markets and to correctly design and assess the risk of portfolio. Using the GEM index and the CSI 300 index data, this paper analyzes the related structures between China＇s GEM and main board markets with the aid of ARMA-GARCH-Normal-Copu- la and ARMA-GARCH-T-Copula models. The result shows that the fluctuationshould be greateron GEM than main board market, there is a positive eorrelationbetween the GEM and the main board withan asymmetric tailed structure. The reaction of the GEM to the change of the main board market is stronger on the tail （upper tail and lower tail） than that of the main board market to the change of the GEM.

关 键 词：创业板市场 主板市场 尾部结构 COPULA函数 

分 类 号：F832.51[经济管理—金融学] F224