基于机制转换Copula模型的股市量价尾部关系研究

发布时间：2018-03-10 20:44

本文选题：量价关系　切入点：尾部相依性　出处：《中国管理科学》2012年05期 　论文类型：期刊论文

【摘要】：针对传统模型只能考察正常市场条件下的量价关系,本文构建了机制转换Copula模型来研究极端市场条件下我国股市量价间的尾部相依性,发现沪深两市收益率、绝对收益率与交易量间的尾部关系存在明显的非对称特征。高收益率、高绝对收益率对应着高交易量,而低收益率、低绝对收益率与高、低交易量不存在对应关系。另外,量价间尾部关系与机制状态有关,呈现明显的周期性动态特征与结构性变化,结构变化点对应着股市周期中较大调整的开始或结束。研究还发现沪市量价间尾部关系要强于深市,但深市收益率与交易量尾部在两机制间的变动更大,而两市绝对收益率与交易量间的尾部相依性在两机制间变动较小。
[Abstract]:In view of the fact that the traditional model can only examine the relationship between volume and price under normal market conditions, this paper constructs a mechanism conversion Copula model to study the tail dependence of volume and price in China's stock market under extreme market conditions, and finds out the yield of Shanghai and Shenzhen stock markets. The tail relationship between absolute rate of return and trading volume has obvious asymmetric characteristics. High rate of return and high absolute rate of return correspond to high volume, while low rate of return and low absolute rate of return have no corresponding relationship with high and low volume. The tail relationship between volume and price is related to the state of the mechanism, showing obvious periodic dynamic characteristics and structural changes. The structural change point corresponds to the beginning or end of the larger adjustment in the stock market cycle. The study also found that the tail relationship between volume and price in Shanghai stock market is stronger than that in Shenzhen market, but the tail of yield and trading volume in Shenzhen stock market is more varied between the two mechanisms. The tail dependence between the absolute yield and trading volume of the two markets is relatively small between the two mechanisms.
【作者单位】：山东大学经济研究院;
【基金】：山东大学自主创新资助项目(2011GN025) 山东省博士后资助项目(201103064)
【分类号】：F224;F832.51

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