基于机制转换混合Copula模型的我国股市间极值相依性

发布时间：2019-02-18 14:00

【摘要】：通过构建机制转换混合Copula模型,考察了沪、深股市与港、台股市间的尾部相依特征,研究发现:它们间的尾部相依性呈非对称动态过程,在低风险状态下,右尾部相依性普遍高于左尾部相依性;而在高风险状态下,左尾部相依性普遍高于右尾部相依性.相对于沪、深股市与台股而言,沪、深股市与港股间的尾部相依性更强,其尾部相依性对外来冲击更敏感;相对于沪市与港、台股市而言,深市与港、台股市间的尾部对外在冲击更敏感.在此次次贷危机中,沪、深股市与港、台股市间极值风险显著增加,并呈现明显的金融感染.而且各尾部相依性的两个结构变化几乎同时发生并分别对应于危机的第一、二阶段,这表明:沪、深股市与港、台股市间的风险呈系统性特征,而危机的第三阶段对沪、深股市与港、台股市间的影响较有限.
[Abstract]:By constructing the mixed Copula model of mechanism transformation, the tail dependence characteristics of Shanghai, Shenzhen stock markets, Hong Kong and Taiwan stock markets are investigated. It is found that the tail dependence of these two stocks is asymmetric and dynamic, and under low risk condition, it is found that the tail dependence of Shanghai, Shenzhen and Taiwan stock markets is asymmetric and dynamic. The dependence of right tail is higher than that of left tail. In high risk state, the dependence of left tail is generally higher than that of right tail. Compared with Shanghai, Shenzhen stock market and Taiwan stock market, Shanghai, Shenzhen stock market and Hong Kong stocks have stronger tail dependence, and their tail dependence is more sensitive to external shocks. Compared with Shanghai and Hong Kong, the tail of the Taiwan stock market is more sensitive to external shocks than that of Shenzhen and Hong Kong. In the subprime mortgage crisis, the risk of extreme value between Shanghai, Shenzhen and Hong Kong and Taiwan stock markets increased significantly, and showed obvious financial infection. Moreover, the two structural changes of each tail dependence occur almost simultaneously and correspond to the first and second stages of the crisis respectively. This indicates that the risks between the Shanghai, Shenzhen and Hong Kong and Taiwan stock markets are systematic, while the third stage of the crisis is for Shanghai. Shenzhen stock market and Hong Kong, Taiwan stock market between the impact is relatively limited.
【作者单位】：山东大学
【基金】：山东大学经济研究院自主创新(2011JC004)
【分类号】：F832.51;F224

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