股市隔夜收益与交易收益非线性时变联动效应研究  

Study on Nonlinear Time-varying Linkage Effects between Stock Market Overnight Return and Trading Return

作　　者：淳伟德[1] 赵如波[2] 

机构地区：[1]成都理工大学商学院,四川成都610059 [2]电子科技大学经济与管理学院,四川成都611731

出　　处：《预测》2016年第5期62-67,共6页Forecasting

基　　金：国家社会科学基金资助项目(12BGL024);国家自然科学基金资助项目(71171025);成都理工大学优秀科研创新团队资助项目(KYTD201303);四川省软科学研究计划资助项目(2016ZR0137)

摘　　要：在金融市场典型事实约束下,运用ARFIMA-FIAPARCH-SKST模型对金融收益率和波动率建模,使用EVT模型刻画金融收益的极值尾部,进而运用GAS-t Copula模型刻画上证综指隔夜收益与交易收益之间的非线性时变联动效应。实证结果表明,上证综指隔夜收益具有显著的杠杆效应,而交易收益波动率则呈现出显著的长记忆性;GAS-t Copula模型能够准确刻画上证综指隔夜收益与交易收益之间的相依结构;上证综指隔夜收益与交易收益之间的联动效应显著强于两者之间的极值联动效应。In this paper, the ARFIMA and FIAAPRCH model is used to model financial conditional return and volatility based on some stylized facts, and then, financial extreme return is measured by the extreme value theory（EVT） , at last, we use GAS-t copula model to describe the nonlinear linkage effects between Shanghai composite index overnight return and trading return. The empirical results show that overnight return has obvious leverage effect, and trading return volatility shows apparent long memory; GAS-t Copula model can describe the dependency structure between overnight return and trading return accurately; The linkage effect between overnight return and trading return is significantly stronger than the extremum linkage effect between overnight return and trading return.

关 键 词：联动效应 隔夜收益 交易收益 GAS-t COPULA 

分 类 号：F832.5[经济管理—金融学]