基于copula视角的股市期市债市相关性的中美对比研究

发布时间：2018-01-01 16:43

本文关键词：基于copula视角的股市期市债市相关性的中美对比研究　出处：《西南交通大学》2012年硕士论文　论文类型：学位论文

【摘要】：随着金融产品的日益复杂和金融全球化、一体化的发展,资本市场之间的相关关系变得日趋复杂。同时,中国资本市场自改革开放以来逐步发展壮大,目前已经有股票市场,期货市场,国债市场以及其它类型的各种金融交易市场。Copula方法能够有效的刻画随机变量间的非线性、非对称性,特别是容易捕捉到变量分布尾部的相关关系,因此使用copula建模分析资本市场中的相关性具有重要优势。同时,对资本市场间相关关系的研究,能够把握市场间的相互关系,这对于市场监管、风险规避等资本市场参与者具有重要指导价值。基于此,本文专门探讨了中国资本市场中股市、期市和债市这三个市场之间的尾部相关性。另一方面,本文也将研究美国资本市场中这三种市场的尾部相关性,对比不同成熟程度下,资本市场间关系的具体差异。本文选取了上证指数、燃油指数和国债指数分别代表中国股市、期市和债市,详细研究了中国这三种资本市场之间的相互关系。在美国市场上,选取了标准普尔500指数、美国燃油指数和十年期的国债指数作为相应股票市场、期货市场和债券市场的代表。本文首先用AR(1)一GJR(1,1)一GED模型对各个指数的边际分布进行拟合,然后分别采用对上下尾部敏感的GUMBEL和CLAYTON二元copula函数建模分析,详细研究了中美市场中各指数之间的尾部相关性,通过本文的实证研究得出了以下重要的结论。首先是中美两国资本市场中,上尾相关性强于下尾相关性,在牛市情况下,各市场之间都表现出上涨的相同趋势,在熊市情况下则相互独立。其次,本文实证结果反映了中美两不同市场下的重要差异,一方面,中国资本市场的相关性要比美国资本市场的相关性弱,这主要是由于中国的市场化程度与美国不同,经济发展的阶段不同,因此,各金融产品还不能同时反映出市场情况,表现出一定差异。另一方面,各市场之间的相关性强弱顺序不同,中国的资本市场上,股市和期市的相关性最强,其次是期市和债市,而股市和债市的相关性最小。在美国市场上,相关性最大的是股市和债市,其次是股市和期市,期市和债市的相关性最小。这反映了中国各市场的发展水平不同和经济体制的重要差异。本文研究得出,中国还需要提高资本市场化水平,完善金融产品结构,逐步缩小与成熟资本市场之间的差距；对于投资者而言,要根据中国资本市场的具体相互关系特点,在不同的市场之间进行科学投资,有效规避投资风险。
[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.
【学位授予单位】：西南交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F831.51;F224

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