iVIX指数与上证50 ETF收益率的相关性实证研究  

Correlation Research between China Volatility Index and Shanghai Stock Exchange Traded Fund

作　　者：胡明柱 王苏生 许桐桐 HU Ming-zhu;WANG Su-sheng;XU Tong-tong(School of Economics and Management,Harbin Institute of Technology,Shenzhen 518055,China)

机构地区：[1]哈尔滨工业大学(深圳)经济管理学院,广东深圳518055

出　　处：《运筹与管理》2018年第10期154-163,共10页Operations Research and Management Science

基　　金：深圳市软科学项目"基于高频数据的证券市场动力学及应用研究"(JCYJ20140417173156101)

摘　　要：采用1分钟高频数据,研究i VIX指数与上证50 ETF收益率之间的相关性。运用参数估计和核密度估计描述两者的边缘分布,通过K-S拟合优度检验构建Copula模型。研究表明:Copula模型具有较好的拟合优度,Copula函数相对于Kendall和Spearman分析方法不仅能够捕捉i VIX指数与ETF收益率序列间的秩相关性,而且还能反映i VIX指数与ETF收益率的尾部相关性; i VIX指数与上证50 ETF收益率之间存在负的秩相关性,秩相关性强弱随着不同持有期大致呈现"W"型分布,通过Copula概率密度函数的尾部相关性发现i VIX指数与ETF收益率存在非对称结构特征。This paper uses the 1 mins high frequency data of China Volatility index （iVIX） and return of Shanghai Stock Exchange Traded Fund （SSE） to study the correlation between them. Nonparametrie kernel density estimator and parameter estimation are used to describe the exponential edge distribution. Copula model is tested by K-S method. The research shows that the copula indicates the goodness of fit. Compared with the traditional Ken- dall and Spearman correlation analysis, the copula model can not only capture the rank correlation between iVIX index and the return of SSE, but also reflects the tail correlation between them. The negative rank correlation shows W-shaped distribution during different holding periods. Through the tail correlation of Copula＇s probability density function, it shows that the iVIX index and the return of SSE have asymmetric characteristics.

关 键 词：iVIX指数 上证50 ETF 核密度估计 COPULA模型 相关性 

分 类 号：F830.91[经济管理—金融学]