基于Copula理论的上证指数与房地产指数研究

发布时间：2018-02-10 07:34

本文关键词： Copula函数二元正态Copula函数二元t-Copula函数极大似然估计上证综合指数上证地产指数　出处：《华中师范大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着全球经济一体化的发展,国际股市之间的联动性也呈现升温态势,经过了美国金融危机、欧债危机,此观点得到了认同。2007年2月27日,全球股市呈现多米诺骨牌效应,从欧洲到美国股市相继大跌,纽约股市出现了自“911事件”以来的单日最大跌幅。这一天,中国股市也出现暴跌,创下10年来的单日最大跌幅。股票市场代表的是经济的晴雨表,它在我国的经济发展中占据了重要的位置。随着中国改革开放一体化进程步伐的加快,特别是房地产市场,已经成为经济发展最重要的因素之一。美国的次贷危机就是由于房地产市场泡沫破灭形成的,在此,应当引起我们的特别注意。因为如今中国房地产市场泡沫正处于濒临破裂的关键时期,倘若处理不好极有可能成为海外金融机构狙击的对象,造成惨痛的局面。如1997年索罗斯狙击港币,结果在1997年10月23日香港股市暴跌,400亿美元的股票市值烟消云散。索罗斯的狙击使恒生指数从16673点的高峰一直跌到6660点,跌去了60%。本文主要研究的是上证地产指数与上证综合指数的相关性,前人的研究分析工作大多是基于线性相关的分析方法,现在我们引入Copula理论,它是一种可以研究非线性、非对称相关的统计理论。本文主要应用Copula理论进行实证分析,通过模型基本统计量和模型中的参数估计值来反映市场之间的联动性。本文选取了上证综合指数(代码“000001”)和上证地产指数(代码“000006”)作为研究对象,考虑到金融危机带来的影响,选取了2004年1月4日至2012年12月31日每日收盘数据,通过二元正态Copula函数和二元t-Copula函数模型,利用极大似然估计得到模型中的参数估计值。通过分析参数估计值发现,上证地产指数与上证综合指数的联动性很强,上证地产指数大幅上涨或者下跌,上证综合指数也随之发生上涨或者下跌的概率高达49.08%。
[Abstract]:With the development of global economic integration, the linkage between international stock markets is also warming up. After the financial crisis in the United States and the European debt crisis, this view has been agreed. In February 27th 2007, the global stock market showed a domino effect. Stocks from Europe to the United States tumbled and New York suffered its biggest one-day decline since 9 / 11. On that day, Chinese stocks also tumbled, their biggest one-day decline in a decade. The stock market represents the barometer of the economy, which occupies an important position in the economic development of our country. With the acceleration of the process of China's reform and opening up and integration, especially the real estate market, Has become one of the most important factors in economic development. The subprime mortgage crisis in the United States was caused by the bursting of the bubble in the real estate market. We should pay special attention. Because the bubble in China's real estate market is now on the verge of bursting, if it is not handled properly, it is likely to be the target of attack by overseas financial institutions. Soros' sniper attack on the Hong Kong dollar in 1997, for example, sent the Hong Kong stock market tumbling on October 23rd 1997, with market value, the $40 billion stock market, vanishing. Soros's sniper attack sent the Hang Seng Index down from its 16673 peak to 6,660. This paper mainly studies the correlation between Shanghai real estate index and Shanghai composite index. The previous research and analysis work is mostly based on linear correlation analysis method. Now we introduce Copula theory, which can be used to study nonlinearity. Statistical theory of asymmetric correlation. This article mainly uses Copula theory to carry on the empirical analysis, This paper chooses Shanghai Composite Index (Code "000001") and Shanghai Stock Exchange Real Estate Index (Code "000006") as the research object, considering the impact of the financial crisis. The daily closing data from January 4th 2004 to December 31st 2012 are selected. By using the binary normal Copula function and the binary t-Copula function model, the parameter estimates in the model are obtained by maximum likelihood estimation. Shanghai real estate index and Shanghai composite index of strong linkage, the Shanghai real estate index rose or fell sharply, the Shanghai Composite Index also rose or fell with the probability of up or down as high as 49.08.
【学位授予单位】：华中师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F299.23;F832.51

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