本文關(guān)鍵詞：基于copula視角的股市期市債市相關(guān)性的中美對比研究　出處：《西南交通大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 資本市場 尾部相關(guān)性 copula模型

【摘要】：隨著金融產(chǎn)品的日益復(fù)雜和金融全球化、一體化的發(fā)展,資本市場之間的相關(guān)關(guān)系變得日趨復(fù)雜。同時,中國資本市場自改革開放以來逐步發(fā)展壯大,目前已經(jīng)有股票市場,期貨市場,國債市場以及其它類型的各種金融交易市場。Copula方法能夠有效的刻畫隨機變量間的非線性、非對稱性,特別是容易捕捉到變量分布尾部的相關(guān)關(guān)系,因此使用copula建模分析資本市場中的相關(guān)性具有重要優(yōu)勢。同時,對資本市場間相關(guān)關(guān)系的研究,能夠把握市場間的相互關(guān)系,這對于市場監(jiān)管、風(fēng)險規(guī)避等資本市場參與者具有重要指導(dǎo)價值。基于此,本文專門探討了中國資本市場中股市、期市和債市這三個市場之間的尾部相關(guān)性。另一方面,本文也將研究美國資本市場中這三種市場的尾部相關(guān)性,對比不同成熟程度下,資本市場間關(guān)系的具體差異。 本文選取了上證指數(shù)、燃油指數(shù)和國債指數(shù)分別代表中國股市、期市和債市,詳細研究了中國這三種資本市場之間的相互關(guān)系。在美國市場上,選取了標準普爾500指數(shù)、美國燃油指數(shù)和十年期的國債指數(shù)作為相應(yīng)股票市場、期貨市場和債券市場的代表。本文首先用AR(1)一GJR(1,1)一GED模型對各個指數(shù)的邊際分布進行擬合,然后分別采用對上下尾部敏感的GUMBEL和CLAYTON二元copula函數(shù)建模分析,詳細研究了中美市場中各指數(shù)之間的尾部相關(guān)性,通過本文的實證研究得出了以下重要的結(jié)論。 首先是中美兩國資本市場中,上尾相關(guān)性強于下尾相關(guān)性,在牛市情況下,各市場之間都表現(xiàn)出上漲的相同趨勢,在熊市情況下則相互獨立。其次,本文實證結(jié)果反映了中美兩不同市場下的重要差異,一方面,中國資本市場的相關(guān)性要比美國資本市場的相關(guān)性弱,這主要是由于中國的市場化程度與美國不同,經(jīng)濟發(fā)展的階段不同,因此,各金融產(chǎn)品還不能同時反映出市場情況,表現(xiàn)出一定差異。另一方面,各市場之間的相關(guān)性強弱順序不同,中國的資本市場上,股市和期市的相關(guān)性最強,其次是期市和債市,而股市和債市的相關(guān)性最小。在美國市場上,相關(guān)性最大的是股市和債市,其次是股市和期市,期市和債市的相關(guān)性最小。這反映了中國各市場的發(fā)展水平不同和經(jīng)濟體制的重要差異。本文研究得出,中國還需要提高資本市場化水平,完善金融產(chǎn)品結(jié)構(gòu),逐步縮小與成熟資本市場之間的差距；對于投資者而言,要根據(jù)中國資本市場的具體相互關(guān)系特點,在不同的市場之間進行科學(xué)投資,有效規(guī)避投資風(fēng)險。
[Abstract]:With the increasing complexity of financial products and financial globalization and the development of integration, the relationship between capital markets has become increasingly complex. At the same time, China's capital market has gradually developed since the reform and opening up. At present, there are stock market, futures market, treasury bond market and other types of financial trading market. Copula method can effectively describe the nonlinearity and asymmetry between random variables. In particular, it is easy to capture the correlation between the tail of the variable distribution, so it is an important advantage to use copula model to analyze the correlation in the capital market. At the same time, the research on the correlation relationship between the capital market. The ability to grasp the mutual relationship between the markets, which has important guiding value for market supervision, risk aversion and other capital market participants. Based on this, this paper specifically discusses the stock market in China's capital market. On the other hand, this paper will also study the tail correlation of these three markets in the United States capital market, and compare the different maturity of the three markets. The specific differences in the relationship between capital markets. This paper selects Shanghai stock index, fuel index and national debt index to represent Chinese stock market, futures market and bond market respectively, and studies the relationship between these three capital markets in detail. The S & P 500 index, US fuel index and 10-year Treasury bond index are selected as the representative of the corresponding stock market, futures market and bond market. 1) A GED model is used to fit the marginal distribution of each index, and then the GUMBEL and CLAYTON binary copula functions, which are sensitive to the upper and lower tail, are used to model and analyze respectively. In this paper, the tail correlation of each index in Chinese and American markets is studied in detail, and the following important conclusions are drawn through the empirical research in this paper. First, in the capital markets of China and the United States, the up-and-end correlation is stronger than the down-end correlation. In the bull market, all markets show the same trend of rising, and in the bear market, they are independent of each other. The empirical results of this paper reflect the important differences between China and the United States under different markets. On the one hand, the relevance of Chinese capital markets is weaker than that of American capital markets. This is mainly because the degree of marketization in China is different from that in the United States, and the stage of economic development is different. Therefore, various financial products can not reflect the market situation at the same time, showing certain differences. The order of correlation between different markets is different. In Chinese capital market, the correlation between stock market and futures market is the strongest, followed by futures market and bond market, and the correlation between stock market and bond market is the least. The biggest correlation is the stock market and bond market, followed by the stock market and futures market, the futures market and bond market correlation is the least, which reflects the different levels of development of China's markets and important differences in economic systems. China also needs to improve the level of capital marketization, improve the structure of financial products, and gradually narrow the gap between the mature capital market; For investors, it is necessary to make scientific investment among different markets according to the specific interrelation characteristics of Chinese capital market, so as to avoid investment risk effectively.
【學(xué)位授予單位】：西南交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F831.51;F224

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