基于Copula函数的沪深300指数成份股相关性研究
发布时间：2019-05-16 21:44
【摘要】：随着沪深300指数期货在2010年4月推出，中国股市从此进入“对冲”时代。沪深300指数的作用也由以往纯粹的市场基准升级为一种投资标的，其波动本身不仅仅反映整个市场的状况，而且也牵动着大量股指期货投资者的投资收益，因此关于沪深300指数的抗操纵性也一直被市场所关注和讨论。 本文从指数抗操纵性研究的现状入手，分析了关于操纵的定义以及常见操纵手法，并探讨了现在常用的利用个股和板块的权重集中度来判断指数抗操纵性的方法以及它的局限性，由此引出了本文所要重点讨论的利用个股与指数的尾部相关性这一角度来分析指数抗操纵性的方法。为研究个股与指数的尾部相关性，本文引入了Copula函数，，该函数比常用的线性相关函数相比有很大的优越性，特别适合计算两个金融变量的尾部相关性。文章详细介绍了Copula函数的定义和特征，建立了Copula函数与尾部相关系数的关系，并介绍了基于Copula函数的尾部相关性分析的方法和步骤。 最后本文用沪深300指数与其前十大权重股与指数的日收益率来做实证分析，求得前十大权重股与沪深300指数之间的尾部相关性，进而得出沪深300指数是否容易被操纵的结论。根据计算的结果，沪深300指数前十大权重股与指数之间存在着比较强的尾部相关性，表明这些股票在大涨大跌的情况下，沪深300指数出现大涨大跌的概率是比较大的，但是由此是否说明可以通过操纵个股来操纵指数还需要进一步的研究。
[Abstract]:With the launch of Shanghai and Shenzhen 300 index futures in April 2010, the Chinese stock market has since entered the era of "hedge". The role of the CSI 300 index has also been upgraded from the previous pure market benchmark to an investment target, and its volatility itself not only reflects the situation of the whole market, but also affects the investment returns of a large number of stock index futures investors. Therefore, the anti-manipulation of the Shanghai and Shenzhen 300 index has been concerned and discussed by the market. Starting with the present situation of exponential anti-manipulation research, this paper analyzes the definition of manipulation and common manipulation techniques. This paper also discusses the commonly used methods to judge the exponential anti-maneuverability by using the weight concentration of individual stocks and plates, as well as its limitations. This leads to the method of analyzing the anti-maneuverability of the index from the point of view of the tail correlation between the individual stock and the index, which is discussed in this paper. In order to study the tail correlation between individual stocks and indices, this paper introduces the Copula function, which has great advantages over the commonly used linear correlation functions, and is especially suitable for calculating the tail correlation of two financial variables. In this paper, the definition and characteristics of Copula function are introduced in detail, the relationship between Copula function and tail correlation coefficient is established, and the method and steps of tail correlation analysis based on Copula function are introduced. Finally, this paper uses the daily return rate of Shanghai and Shenzhen 300 index and its top ten heavy stocks and index to make an empirical analysis, obtains the tail correlation between the top ten heavy stocks and Shanghai and Shenzhen 300 index, and then draws the conclusion that the Shanghai and Shenzhen 300 index is easy to be manipulated. According to the results of calculation, there is a strong tail correlation between the top 10 heavy stocks and the index of the CSI 300 index, which indicates that the probability of the Shanghai and Shenzhen 300 index rising and falling is relatively large when these stocks rise and fall. But whether this shows that individual stocks can be manipulated to manipulate the index needs further research.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51
本文编号：2478575
[Abstract]:With the launch of Shanghai and Shenzhen 300 index futures in April 2010, the Chinese stock market has since entered the era of "hedge". The role of the CSI 300 index has also been upgraded from the previous pure market benchmark to an investment target, and its volatility itself not only reflects the situation of the whole market, but also affects the investment returns of a large number of stock index futures investors. Therefore, the anti-manipulation of the Shanghai and Shenzhen 300 index has been concerned and discussed by the market. Starting with the present situation of exponential anti-manipulation research, this paper analyzes the definition of manipulation and common manipulation techniques. This paper also discusses the commonly used methods to judge the exponential anti-maneuverability by using the weight concentration of individual stocks and plates, as well as its limitations. This leads to the method of analyzing the anti-maneuverability of the index from the point of view of the tail correlation between the individual stock and the index, which is discussed in this paper. In order to study the tail correlation between individual stocks and indices, this paper introduces the Copula function, which has great advantages over the commonly used linear correlation functions, and is especially suitable for calculating the tail correlation of two financial variables. In this paper, the definition and characteristics of Copula function are introduced in detail, the relationship between Copula function and tail correlation coefficient is established, and the method and steps of tail correlation analysis based on Copula function are introduced. Finally, this paper uses the daily return rate of Shanghai and Shenzhen 300 index and its top ten heavy stocks and index to make an empirical analysis, obtains the tail correlation between the top ten heavy stocks and Shanghai and Shenzhen 300 index, and then draws the conclusion that the Shanghai and Shenzhen 300 index is easy to be manipulated. According to the results of calculation, there is a strong tail correlation between the top 10 heavy stocks and the index of the CSI 300 index, which indicates that the probability of the Shanghai and Shenzhen 300 index rising and falling is relatively large when these stocks rise and fall. But whether this shows that individual stocks can be manipulated to manipulate the index needs further research.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51
【参考文献】
相关期刊论文 前1条
1 张尧庭;连接函数(copula)技术与金融风险分析[J];统计研究;2002年04期
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