基于Copula-ASV-EVT的QFII和HS300指数相关性风险度量

发布时间：2018-07-12 18:26

本文选题：Copula函数 + 相关结构　；参考：《系统工程理论与实践》2017年03期

【摘要】：以ASV-EVT模型为边缘分布函数,运用三种Copula簇方法研究了QFII和HS300指数之间的相关关系.研究结果表明:BB1 Copula较好地刻画了两指数尾部相关的非线性、非对称特征,且较好地拟合了相关结构,表明两指数在低迷时期的相关性明显高于其活跃时期的相关性.同时回测检验显示Copula-ASV-EVT模型能有效测度两指数组合的市场风险.进而,基于2006-2012年样本实证得出QFII一直坚持价值投资的有力证据.同时,随着QFII数量的增长和上市公司分红制度的完善,中国证券市场面临价值投资理性回归的极好机遇.
[Abstract]:Using ASV-EVT model as edge distribution function, the correlation between QFII and HS300 index is studied by using three Copula cluster methods. The results show that the ratio BB1 Copula well describes the nonlinear and asymmetric characteristics of the tail correlation of the two indices, and fits the correlation structure well. It shows that the correlation of the two indices in the downturn is obviously higher than that in the active period. At the same time, the test results show that Copula-ASV-EVT model can effectively measure the market risk of two index combinations. Furthermore, based on the sample evidence from 2006 to 2012, QFII has been consistent with the strong evidence of value investment. At the same time, with the increase of QFII quantity and the perfection of dividend system of listed companies, China's securities market is faced with an excellent opportunity of rational return of value investment.
【作者单位】：贵州财经大学金融学院;重庆大学经济与工商管理学院;吉林大学计算机科学与技术学院;
【基金】：国家自然科学基金(71061003,71373296)~~
【分类号】：F832.51

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