基于Copula-GARCH模型的沪港两地市场相关性分析  

A Dependence Analysis Between Shanghai and Hong Kong Stock Markets Based on the GARCH-Copula Model

作　　者：石志岩[1] 宋伟航 王超杰 SHI Zhi-yan;SONG Wei-hang;WANG Chao-jie(School of Mathematical Science,Jiangsu University,Zhenjiang 212013,China)

机构地区：[1]江苏大学数学科学学院,江苏镇江212013

出　　处：《数学的实践与认识》2021年第22期1-9,共9页Mathematics in Practice and Theory

基　　金：国家自然科学基金(11601191);江苏大学高级人才启动基金(5501190012)。

摘　　要：沪港通政策是近年来中国资本市场改革中最具影响力的政策之一.自2014年11月实施以来,沪港两地市场的联系显著加强.从实证分析的角度,建立二元时间序列的Copula-GARCH模型,对上证综合指数和香港恒生指数收益率序列的相关性进行分析.结果表明,以沪港通政策实施为时间节点,互联互通后沪港两地市场的整体相关性较互通前有所提升,同时尾部相关性显著增强,从而证实了沪港通政策的有效性.The Shanghai-Hong Kong Stock Connect is one of the most influential policies in China’s capital market reform in recent years.Since its implementation in November2014,the connection between Shanghai and Hong Kong markets have been significantly strengthened.From the perspective of empirical analysis,this paper establishes the Copula-GARCH model for binary time series to analyze the dependence between the return sequences of Shanghai Composite Index and Hong Kong Hang Seng Index.The results show that the overall correlation of the two markets is enhanced after the implementation of the Shanghai-Hong Kong Stock Connect.The tail dependence is also significantly strengthened.They confirm the effectiveness of the Shanghai-Hong Kong Stock Connect policy.

关 键 词：COPULA理论 GARCH模型 厚尾分布 尾部相关系数 沪港通 

分 类 号：F832.51[经济管理—金融学]