基于Copula函数的深港通开通前后沪港股市相关性分析

发布时间：2018-04-22 22:26

  本文选题：深港通 + Copula函数　； 参考：《哈尔滨商业大学学报(社会科学版)》2017年04期

【摘要】：以上证指数和恒生指数作为研究对象,通过构建t-Copula模型对深港通开通前后沪港股市的相关性进行分析,研究发现,沪港两地股票市场的在深港通开通前后都存在着正项相关关系,但相关系数不大,在深港通开通之后,沪港两地股市的相关性有所降低。一方面说明深港通的开通资金流向出现一定程度的分流现象,致使沪股和港股市的相关程度降低,同时也说明深港通开通的有效性。
[Abstract]:Taking Shanghai Stock Exchange Index and Hang Seng Index as the research objects, this paper analyzes the correlation between Shanghai and Hong Kong stock markets before and after the opening of Shenzhen Stock Connect through the construction of t-Copula model. There is a positive correlation between the stock market of Shanghai and Hong Kong before and after the opening of Shenzhen Stock Connect, but the correlation coefficient is not large. After the opening of Shenzhen Stock Connect, the correlation between Shanghai and Hong Kong stock markets has been reduced. On the one hand, it shows that the capital flow of Shenzhen-Hong Kong Stock Connect is diverting to a certain extent, which reduces the correlation between Shanghai Stock Exchange and Hong Kong Stock Market, and at the same time, it also shows the validity of Shenzhen-Hong Kong Stock Connect opening.
【作者单位】： 哈尔滨商业大学金融学院;
【基金】：黑龙江省自然科学基金项目(F2016029)
【分类号】：F832.51

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