金融危机对中国股市各行业板块间相依结构的影响  

The Impact of Financial Crisis on the Dependence Structure among Industry Sectors of China's Equity Market

作　　者：宁建楠 易文德[1,2,3] 

机构地区：[1]西南大学数学与统计学院,重庆400715 [2]重庆文理学院数学与财经学院,重庆402160 [3]重庆文理学院数据分析与图像处理重点实验室,重庆402160

出　　处：《系统工程》2015年第11期10-17,共8页Systems Engineering

基　　金：国家自然科学基金项目(71271227);国家社会科学基金资助项目(15XJY023);重庆高校创新团队建设计划项目(KJTD201321);重庆文理学院群与图及科学计算重点实验室开放课题(KFJJ1403)

摘　　要：利用GARCH-Copula模型探究了2008年世界金融危机对中国股市各行业板块间相依结构的影响。选用沪市各行业板块的股指数据,把时间序列分为危机前和危机后两个时期进行分析。实证结果表明,尽管经验copula显示尾部相依具有非对称性,但依据AIC准则,t-Copula和混合Gumbel Copula相对更适合于拟合序列对间相依结构;各市场间都倾向于联动,且危机后相依性增强。In this paper, we apply GARCH-Copula model to investigate the impact of the 2008 world financial crisis on dependence structure among industry sectors of China＇s equity market. We make an empirical analysis by using the industry sectors＇ stock-indices of Shanghai stock market and dividing the time series into pre-crisis and post-crisis period. The result shows that t-Copula and mixed Gumbel Copula are more appropriate to fit the dependence structure of series pairs according to AIC criteria, although empirical copulas prefer asymmetry tail dependence. Moreover, we find that each market tends to co-move together and there is clearly rising dependence for post-crisis period.

关 键 词：GARCH-Copula模型 相依结构 时变COPULA 尾相依 金融危机 

分 类 号：O212[理学—概率论与数理统计] F830[理学—数学]