基于因子隐马尔可夫Copula模型的金砖国家股市间相依性研究  

Dependence Between BRICS Stock Markets Based on Factor Hidden Markov Copula Model

作　　者：叶五一 张珊[1] 焦守坤 YE Wuyi;ZHANG Shan;JIAO Shoukun(School of Data Science,University of Science and Technology of China,Hefei 230026;School of Management,University of Science and Technology of China,Hefei 230026)

机构地区：[1]中国科学技术大学大数据学院,合肥230026 [2]中国科学技术大学管理学院,合肥230026

出　　处：《系统科学与数学》2024年第10期2920-2936,共17页Journal of Systems Science and Mathematical Sciences

基　　金：国家自然科学基金面上项目(72371230,71973133);安徽省杰出青年基金(2208085J41)资助课题。

摘　　要：为了考察重大经济或政治等事件对金融市场间相依性造成的影响,文章构建了一种允许变量间相依系数服从高维机制转换过程的因子隐马尔可夫Copula模型(FHM-Copula),该模型能够捕获重大事件对相依性带来的不同程度、不同方向、不同持续时间、瞬时或长期的外部冲击.实证研究中,文章基于FHM-Copula模型分析了中国与其他金砖国家股票市场间的动态相依性.研究结果表明,FHM-Copula模型能够有效地识别美国次贷危机、欧债危机、中国股灾、中国接任金砖轮值主席国和新冠肺炎疫情等重大事件对中国与其他金砖国家股市间相依性造成的外部冲击.文章的工作不仅为金融变量间的动态相依性研究提供了基于信息冲击视角的理论分析框架,同时也为投资者和政府监管部门在投资决策和风险管理方面提供了参考.In order to investigate the impact of significant economic or political events on the dependence of financial markets,we construct the factorial hidden Markov Copula model(FHM-Copula)that allows the coefficients of dependence to follow a regime-switching process in high-dimensional state space.The FHM-Copula model is able to capture external shocks of varying magnitude,direction,duration,and short or long-term from significant events to the dependence.In the empirical study,we analyze the dynamic dependence between the stock markets of China and other BRICS countries by adopting the FHM-Copula approach.Our findings indicate that the FHM-Copula model can effectively identify the external shocks caused by significant events such as the subprime crisis,the European debt crisis,the Chinese stock market crash,China's taking over the BRICS presidency and the COVID-19 epidemic on the dependence between the stock markets of China and other BRICS countries.Our works not only provide a theoretical analysis framework based on the information shock perspective for the study of dynamic dependence among financial variables,but also provide a reference for investors and government regulators in investment decisions and risk management.

关 键 词：因子隐马尔可夫 机制转换 COPULAS 动态相依性 

分 类 号：F224[经济管理—国民经济] F831.51