基于Copula-MEM的中国上海和香港股票市场波动相关性研究  

Market Fluctuations Relevant Research on Shanghai and Hongkong of China Based on Copula-MEM

作　　者：郭名媛[1] 徐雯 Guo Mingyuan;Xu Wen(College of Management and Economics, Tianjin University, Tianjin 300072, Chin)

机构地区：[1]天津大学管理与经济学部,天津300072

出　　处：《甘肃科学学报》2018年第1期113-117,138,共6页Journal of Gansu Sciences

基　　金：国家社会科学基金项目(14CTJ012)

摘　　要：以中国上海股票市场和香港股票市场的极差数据作为样本,采用极差波动度量中国上海股票市场和香港股票市场的波动,并用乘积误差模型(MEM)进行建模。在选择适当的MEM的基础上,采用5种Copula函数对中国上海股票市场和香港股票市场之间的波动相关性进行研究。实证结果表明,WMEM(1,1)刻画中国上海股票市场和香港股票市场波动的能力最好。t-Copula函数相比较于正态Copula函数、Gumbel Copula函数、Clayton Copula函数和Frank Copula函数,能够最准确地捕捉到中国上海股票市场和香港股票市场的极差波动的相关关系。Take range data from Stock Market in Chinese Shanghai and Hongkong as sample,use range fluctuation to measure fluctuation in Chinese Shanghai Hongkong Stock Market and Multiplicative Error Model（MEM）to build model.Based on appropriate MEM model,use five kinds of Copula functions to study fluctuation correlation of Shanghai and Hongkong Stock Market.The practical result shows that WMEM（1,1）model is the best to reflect fluctuation of Shanghai and Hongkong Stock Market.Compared to Copula,Gumbel Copula,Clayton Copula,and Frank Copula functions,t-Copula can precisely catch correlation of range fluctuation in Chinese Shanghai and Hongkong Stock Market.

关 键 词：股票市场 极差数据 极差波动 乘积误差模型 COPULA函数 

分 类 号：F832.51[经济管理—金融学] F224