【摘要】：本文主要探討了我國指數(shù)基金與指數(shù)的相依結(jié)構(gòu),相依性分析是金融理論和實踐的一個基礎(chǔ)性問題,然而傳統(tǒng)的線性相依衡量有其局限性,因此引入Copula模型來測度變量之間非線性和尾部相依結(jié)構(gòu)。 指數(shù)基金的投資采用被動管理策略,通過分散投資標(biāo)的指數(shù)的成份股,力求股票組合的收益率與目標(biāo)指數(shù)的平均收益率保持一致。然而實際情況是指數(shù)基金的走勢與標(biāo)的指數(shù)并不一定同步,追蹤同一標(biāo)的指數(shù)的指數(shù)基金在走勢方面也存在的偏差,指數(shù)基金跟蹤指數(shù)的效果千差萬別。因此本文擬通過研究指數(shù)基金與指數(shù)的相依性來評價指數(shù)基金追蹤指數(shù)的效果優(yōu)劣,這有助于基金管理者構(gòu)建投資組合更加有效、監(jiān)管者在市場制度建設(shè)更加合理以及對基金投資者在選擇基金投資種類方面提供指導(dǎo)作用。 本文首先總結(jié)了國內(nèi)外在Copula理論與應(yīng)用取得的成果,說明了Copula在衡量變量相依性存在的優(yōu)勢； 其次在概述Copula理論的基礎(chǔ)上,詳細(xì)給出了Copula建模的一般步驟。靜態(tài)相依結(jié)構(gòu)的衡量利用了阿基米德族Gumbel、Clayton、 Frank和這三種Copula的線性混合模型,在此基礎(chǔ)上使用滾動窗口的方法,利用AR(2)-GARCH (1,1)模型對參數(shù)實現(xiàn)動態(tài)演化擬合,從而將靜態(tài)衡量模型拓展到動態(tài)衡量。 最后對追蹤滬深300指數(shù)的LOF基金嘉實300、銀華300與鵬華300指數(shù)基金與指數(shù)的相依結(jié)構(gòu)進(jìn)行實證研究,通過Copula模型從靜態(tài)與動態(tài)兩方面深入研究變量之間的相依程度和相依結(jié)構(gòu)。 通過實證研究可得出各指數(shù)基金與指數(shù)的相依結(jié)構(gòu)呈現(xiàn)不同的特征,利用Copula模型在衡量變量之間相依性上確實存在不少優(yōu)勢,而且本文從靜態(tài)與動態(tài)兩方面的建模對于深入分析指數(shù)基金追蹤指數(shù)的效果具有全面性,也使得解釋性更強,可信度更高,使用相依性分析也為選擇指數(shù)基金提供了新的視角。
[Abstract]:This paper mainly discusses the dependence structure of index fund and index in China. Dependency analysis is a basic problem in financial theory and practice. However, the traditional linear dependency measurement has its limitations. Therefore, the Copula model is introduced to measure the nonlinear and tail dependent structures between variables. The investment of index fund adopts passive management strategy, and the return rate of the stock portfolio is consistent with the average return of the target index by diversifying the component stocks of the underlying index. However, the actual situation is that the trend of the index fund is not necessarily synchronized with the target index, and there is also a deviation in tracking the trend of the index fund with the same target, and the effect of the index tracking index is very different. Therefore, this paper intends to evaluate the effectiveness of index tracking index by studying the dependence of index fund and index, which is helpful for fund managers to build a portfolio more effective. Regulators are more reasonable in the construction of market system and provide guidance to fund investors in the choice of fund investment types. This paper first summarizes the achievements in Copula theory and application at home and abroad, and explains the advantages of Copula in measuring the dependence of variables. Secondly, on the basis of summarizing the Copula theory, the general steps of Copula modeling are given in detail. The static dependent structure is measured by using the linear mixed model of the Archimedes family Gumbel,Clayton, Frank and the three kinds of Copula. On the basis of this, the dynamic evolution fitting of the parameters is realized by using the AR (2) -GARCH (1K1) model using the method of rolling window. Thus, the static measurement model is extended to dynamic measurement. Finally, this paper makes an empirical study on the dependence structure of the LOF funds, Jiashong 300, Yinhua 300 and Penghua 300 index funds, which track the CSI 300 index, and studies the dependence degree and structure of variables from static and dynamic aspects through the Copula model. Through the empirical study, we can find that the dependent structure of each index fund and index presents different characteristics, and there are many advantages in measuring the dependence of variables by using Copula model. Moreover, the static and dynamic modeling in this paper has a comprehensive effect on the in-depth analysis of the index tracking index of index funds, and makes the explanation stronger and the reliability higher. The use of dependency analysis also provides a new perspective for the selection of index funds.
【學(xué)位授予單位】：浙江工商大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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