| 基于Copula函数的证券基金与股价指数的尾部相关性分析 |
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| 引用本文： | 郭畅. 基于Copula函数的证券基金与股价指数的尾部相关性分析[J]. 南通大学学报(自然科学版), 2009, 8(2): 85-90 |
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| 作者姓名： | 郭畅 |
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| 作者单位： | 上海理工大学,管理学院,上海,200093;南通大学,理学院,江苏,南通,226007 |
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| 基金项目： | 上海市重点学科建设资助项目 |
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| 摘 要： | 利用Granger因果检验考察上证基金指数及股票指数间的联动特征,发现股票指数是基金指数的Granger成因.分别对基金指数及股票指数的收益率建立时间序列GARCH模型,引入Archimedean Copuh族的函数研究基金与股票收益之间的尾部相关性,研究表明基金指数和股票指数尾部相关性较高,基金市场随股票市场的涨跌而发生变化,且相关性在熊市期间强于牛市期间.
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| 关 键 词： | Granger因果检验 Copula函数 证券基金 股价指数 尾部相关 |
Tail Dependence Analysis of Fund Index and Stock Index Based on Copula Function |
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| GUO Chang. Tail Dependence Analysis of Fund Index and Stock Index Based on Copula Function[J]. Journal of Nantong University (Natural Science Edition), 2009, 8(2): 85-90 |
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| Authors: | GUO Chang |
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| Affiliation: | 1.Business School;University of Shanghai for Science and Technology;Shanghai 200093;China;2.School of Sciences;Nantong University;Nantong 226007;China |
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| Abstract: | We apply the Granger causality tests to investigate a kind of movement characteristic about the correlated and interactive current in the fluctuation between our country's stock and fund indexes.It is found that the stock index causes the Granger of the fund index.We establish the GARCH model on the two return series in order to study the tail dependence between the two indexes by using Archimedean Copula.The study shows that fund index and stock index have high tail dependence.The trend of stock market det... |
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| Keywords: | Granger causality tests Copula function fund index stock index the tail dependence |
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