基于Copula函数模型的股市交易量与股价相依关系

发布时间：2018-04-22 14:01

本文选题：Copula函数 + 相依结构　；参考：《系统工程》2010年10期

【摘要】：股市交易量与股价变化的相依关系一直是学术界和投资分析人士所研究的热点问题。研究交易量与股价的相依关系不仅要研究它们之间的相依程度而且还要研究它们之间的相依结构。应用ARMA(2,1)模型对交易量变量的序列相关性进行修正,基于Copula函数模型研究三个股票市场的交易量与股市指数收益率的相依程度和相依结构。通过χ2检验研究发现:混合Copula函数模型能够刻画交易量与股价之间的相依结构,通过了假设检验;交易量与股价之间存在上尾高下尾低的非对称相依关系且混合有负相依现象,但它们之间的负相依程度较弱。
[Abstract]:The dependence of stock market trading volume and stock price changes has been a hot issue in academia and investment analysts. To study the dependence of trading volume and stock price, we should study not only their dependence degree but also their dependence structure. Based on the Copula function model, the dependence degree and structure of the trading volume and the return rate of the stock market index are studied. Through 蠂 ~ 2 test, we find that the mixed Copula function model can describe the dependence structure between trading volume and stock price, and pass the hypothesis test. But the negative dependence between them is weaker.
【作者单位】：重庆文理学院数学与统计学院;
【基金】：教育部人文社会科学研究项目(08JA790142)
【分类号】：F224;F830.91

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