上证指数暴涨暴跌与美国道指相关性分析  

The Analysis of Relationship between the Soaring and Plummeting Shanghai Composite Index and the Dow Jones Industrial Average

作　　者：欧诗德[1] 李燕萍[1] 吴川[1] 周振燕 

机构地区：[1]玉林师范学院数学与信息科学学院,广西玉林537000

出　　处：《玉林师范学院学报》2016年第5期14-20,共7页Journal of Yulin Normal University

基　　金：广西自然科学基金项目(2013GXNSFAA019012);国家统计局科研项目(2012LY052);玉林师范学院高层次人才科研启动基金(G2012010);广西区级大学生创新创业项目(201410606035)

摘　　要：随着国际金融市场开放,不同证券市场之间的联动频繁出现,研究市场之间的相依关系意义重大.本文对2014年至2015年上证指数的暴涨暴跌过程分阶段与道琼斯指数进行比较分析,揭示两个市场的特征;运用Copula函数分阶段建立两者之间的相依结构,根据尾部相依系数分析两个指数的相关性.结果表明上指与道指之间存在较强的相依关系.With the opening of international financial market, frequent interaction between different securities markets have occurred. Research on the dependent relations between markets is of great significance. The Shanghai index of boom and bust process from 2014 to 2015 is divided into stages, analyzed and compared with the Dow Jones industrial average. The characteristics of the two markets are revealed. The dependence structure between the two is built by using the copula functions in the phases. According to the tail dependence coefficient, the correlation between the two indices is analyzed. The results show that the two indices have a strong dependence.

关 键 词：COPULA函数 暴涨暴跌 尾部相依 

分 类 号：O213[理学—概率论与数理统计]