基于时变Copula的宏观经济和股票市场波动关系  

The Correlation between Macro-economy and Stock Market Volatility Based on Time-varying Copula

作　　者：孙传志[1] 杨一文[1] 

机构地区：[1]西北工业大学管理学院,陕西西安710129

出　　处：《系统工程》2016年第11期9-16,共8页Systems Engineering

基　　金：国家社会科学基金资助项目(13BJY012);西北工业大学研究生创意创新种子基金资助项目(Z2015163)

摘　　要：运用独立成分分析(ICA)挖掘出我国宏观经济独立驱动因子,同时运用时变Copula来估计独立因子与上证综合指数收益率相关性来得到宏观经济和股票市场波动关系。实证结果表明:时变Copula函数在描述宏观经济和股票市场波动相关性方面有较好的表现。除了物价水平因素和上证综合指数收益率的下尾动态相关性不明显外,其他各独立成分和上证综合指数收益率波动关系明显且趋势基本相似,这表明了我国宏观经济的各独立成分与股票市场波动关系在相同的时间段内表现相似,不同时段内表现不同的特点,突出了宏观经济和股票市场的波动关系依赖于当时的市场环境。In this paper,Independent Component Analysis（ICA）is used to excavate the independent driven factors of macro-economy,simultaneously,in order to get correlation between macro-economy and stock market volatility,timevarying Copula are also applied to estimate the correlation between macro-economy and Shanghai Composite Index Return.The result reveals that time-varying Copula can behave well between macro-economy and stock market volatility.Apart from the dynamics of lower tail correlation between price level factor and Shanghai Composite Index Return isn＇t obvious,all other independent components can follow a similar trend and this phenomenon shows that the correlation between the independent component of macro-economy and stock market volatility behave similar in the same time interval and different in different time interval.This paper also highlights that the relationship between macro-economy and stock market volatility depend on the current market environment.

关 键 词：宏观经济 股票市场 时变COPULA ICA 

分 类 号：F830[经济管理—金融学]