香港与内地股市的相关性及风险溢出效应研究——基于藤Copula-GARCH模型  

Research on the correlation and risk spillover effects of Hong Kong and mainland stock markets--based on vine Copula-GARCH model

作　　者：白乐 卢俊香[1] BAI Le;LU Jun-xiang(School of Science, Xi'an Polytechnic University, Xi'an 710048, Shaanxi, China)

机构地区：[1]西安工程大学理学院,陕西西安710048

出　　处：《宝鸡文理学院学报（自然科学版）》2021年第2期18-23,共6页Journal of Baoji University of Arts and Sciences(Natural Science Edition)

基　　金：中国博士后科学基金(2017M613169);国家自然科学基金(11601410);陕西省自然科学基础研究项目(2017JM1007)。

摘　　要：目的构建Copula-GARCH-CoVaR模型,研究深港通实施前后深市、沪市与香港股市间的相关性及风险溢出效应。方法选取深圳成分指数、上海综合指数和香港恒生指数收益率序列,利用GARCH(1,1)-t模型刻画三地股票市场收益率的边缘分布,选取Pair-Copula并分别基于C藤和D藤对三市场相关性进行分析,通过计算市场间ΔCoVaR值来分析深港通实施前后深市、沪市与香港股市之间风险溢出变化。结果与结论相比于D藤,C藤下的Pair-Copula能更好地拟合深市、沪市与香港股市之间的相关结构。Purposes—To study the correlation and risk spillover effects between Shenzhen stock market,Shanghai stock market and Hong Kong stock market before and after the implementation of Shenzhen-Hong Kong stock connect by constructing the Copula-GARCH-CoVaR model.Methods—By selecting the return rate sequence of Shenzhen Component index,Shanghai Composite index and Hong Kong Hang Seng index,the marginal distribution of the return rate of the three stock markets is described with the GARCH(1,1)model,the three market correlations are analyzed by selecting Pair-Copula and based on C-vine and D-vine respectively,and the risk spillover changes between the Shenzhen,Shanghai and Hong Kong stock markets before and after the implementation of Shenzhen-Hong Kong stock connect are analyzed by calculating the inter-marketΔCoVaR value.Result and Conclusion—Compared with D-vine,Pair-Copula of C-vine can better fit the correlation structure between the Shenzhen stock market,Shanghai stock market and Hong Kong stock market.

关 键 词：藤Copula函数 Copula-GARCH-CoVaR模型 相关性 风险溢出效应 

分 类 号：F830[经济管理—金融学]