本文選題：Copula　切入點：尾部相關性　出處：《廈門大學》2014年碩士論文　論文類型：學位論文

【摘要】：相關性分析是一個重要的金融研究課題,被廣泛運用于風險管理、資產(chǎn)定價和資產(chǎn)配置等領域。Copula函數(shù)與傳統(tǒng)的相關分析工具相比,具有兩個明顯的優(yōu)勢：第一,它對金融市場的線性和非線性、對稱和非對稱的相關關系都能較好地描述；第二,它可分析變量間的相關結(jié)構(gòu)。由Copula導出的下尾相關系數(shù),可以度量股票下跌的風險,能為風險厭惡的投資者提供資產(chǎn)選擇的有效信息。因此,本文研究尾部相關系數(shù)的資產(chǎn)選擇問題有一定的理論和現(xiàn)實意義。 本文首先介紹了Copula定義和類型、尾部相關系數(shù)的概念,以及基于極值模型下尾相關系數(shù)的計算方法。接著,本文借助Rietz的理論模型,分析了以下尾相關系作為資產(chǎn)選擇指標的理論依據(jù)。 在實證部分,本文借助二元閾值模型,以滬深300指數(shù)為大盤,計算其160支成分股與大盤、5000個資產(chǎn)組合與大盤的尾部相關系數(shù),對尾部相關系數(shù)的穩(wěn)定性、相關性和與股票市場表現(xiàn)的關系做了實證分析。結(jié)果表明,下尾相關系數(shù)是一個穩(wěn)定性較高的且與其他風險指標相關度不高(除了Beta系數(shù))；下尾相關系數(shù)低的股票的市場表現(xiàn)優(yōu)于下尾相關系數(shù)高的股票。這具體表現(xiàn)在下尾相關系數(shù)低的股票,在熊市時期能抵御來自大盤下跌的風險；無論在任何時期,它們都具有較小的方差和較高的夏普比率；長期來說它們有較高累計收益率。 最后,本文還是考察以上尾相關系數(shù)作為選股指標的效果,發(fā)現(xiàn)由于上尾相關系數(shù)與下尾相關系數(shù)之間有很高的相關性,上尾相關系數(shù)與下尾部相關系數(shù)選股效果相似。
[Abstract]:Correlation analysis is an important financial research topic, which is widely used in risk management, asset pricing and asset allocation. Copula function has two obvious advantages compared with traditional related analysis tools: first, It can well describe the linear and nonlinear, symmetric and asymmetric correlation of financial markets. Secondly, it can analyze the correlation structure between variables. The lower tail correlation coefficient derived by Copula can measure the risk of stock falling. It can provide effective information of asset selection for risk-averse investors. Therefore, it is of theoretical and practical significance to study the problem of asset selection with tail correlation coefficient in this paper. This paper first introduces the definition and type of Copula, the concept of tail correlation coefficient, and the calculation method of tail correlation coefficient based on extreme value model. The following tail phase relation is analyzed as the theoretical basis of asset selection index. In the empirical part, with the help of the dual threshold model and taking the CSI 300 index as the market, this paper calculates the tail correlation coefficient of 160 constituent stocks and the market, and 5000 asset combinations and the stock market, and the stability of the tail correlation coefficient to the tail correlation coefficient. The correlation and the relationship with the performance of the stock market are analyzed empirically. The lower tail correlation coefficient is a stable stock with low correlation with other risk indicators (except Beta coefficient); the market performance of stocks with lower tail correlation coefficient is better than that of lower tail correlation coefficient. Stocks with low tail correlation coefficient, In bear market times they can resist the risk of falling market; at any time they have smaller variance and higher Sharp ratio; in the long run they have higher cumulative yield. Finally, this paper investigates the effect of the above tail correlation coefficient as a stock selection index. It is found that the upper tail correlation coefficient is similar to the lower tail correlation coefficient because of the high correlation between the upper tail correlation coefficient and the lower tail correlation coefficient.
【學位授予單位】：廈門大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F224;F830.91

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