| 金融危机背景下沪综指与深成指指数相关性分析 |
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| 引用本文： | 李占雷,李学师,吴斯.金融危机背景下沪综指与深成指指数相关性分析[J].科技信息,2010(27):116-117. |
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| 作者姓名： | 李占雷 李学师 吴斯 |
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| 作者单位： | 河北工程大学经济管理学院,河北邯郸056038 |
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| 摘 要： | 鉴于中国证券市场沪深两市的构成特征,在金融危机背景下,应用Archimedean Copula函数族中的Gumbel Copula函数和Clayton Copula函数,实证分析沪综指与深成指指数的相关性,结果表明,我国股市总体呈现出一定的一致性和相关性,并且金融危机出现后,沪深两市下跌的一致性程度大于上涨的一致性程度。
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| 关 键 词： | 沪综指 深成指 Copula函数 尾部相关性 |
The Correlation Analysis Between Shanghai Composite Index and Shenzhen Component Index Under the Financial Crisis |
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| LI Zhan-lei,LI Xue-shi,WU Si.The Correlation Analysis Between Shanghai Composite Index and Shenzhen Component Index Under the Financial Crisis[J].Science,2010(27):116-117. |
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| Authors: | LI Zhan-lei LI Xue-shi WU Si |
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| Institution: | (School of Economics and Management,Hebei University of Engineering,Handan Hebei,056038,China) |
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| Abstract: | The correlation analyzing between Shanghai Composite Index and the Shenzhen Component Index based on composition characteristic of the stock market of china,applying Gumbel Copula function and Clayton Copula function.The empirical result shows that the are some consistency and relevance in overall Chinese stock market,the felling consistency is greater than the rising consistency when facing the financial crisis. |
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| Keywords: | Shanghai Composite Index Shenzhen Component Index Copula function Tail correlation |
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