基于Copula函数的汇率相依性及其对股票市场影响研究
发布时间：2018-10-19 15:43
【摘要】：全球化的加快,金融市场风险日益的复杂化,市场效率的不断提高,流动资本带给金融市场的持续动荡,基于传统假设的分析方法已不再适用当今复杂变化的金融市场,Copula函数作为工具对金融风险刻画相关性有其特有的优点。为研究汇率相依性背景下对股票市场影响,本文应用Copula理论对外汇市场间的尾部相关性进行分析,先用核密度估计变量间边缘分布,在此基础上构建混合Copula模型并将EM算法应用到该模型的参数估计上,得出了汇率间具有明显的上尾相关性,进而讨论汇率相依性对股票市场的影响。由于金融市场以及股票间相关关系不是某种特定变化形式。汇率上,香港盯住美元关联性是比较大的,因此本文选用2014年7月22日至2015年8月26日美元汇率与港币进行尾部相依性研究。股票市场上,汇率相依性背景下利用GARCH类模型分别对同时期选取的恒生、道琼、上证指数研究,分析出外汇市场对股票市场存在溢出效应以及依据动态相关系数反映与股市间联动状况,并针对我国股票市场,对上证综合指数给出了不同置信水平下的动态风险评估,最后得出美元汇率大幅度波动确实影响股市间的震动及传递效应等结论。本文继续对Copula理论在外汇市场相关性分析的应用中进行了总结,及市场间动态相关系数、股市动态风险等运用,进一步提出问题的研究和展望。
[Abstract]:With the acceleration of globalization, the risks of financial markets are becoming more and more complicated, the market efficiency has been continuously improved, and the current capital has brought continuous turbulence to the financial markets. The traditional hypothesis-based analysis method is no longer suitable for the complex financial market nowadays. The Copula function as a tool has its own advantages to depict the financial risk. In order to study the influence of exchange rate dependence on stock market, this paper applies Copula theory to analyze the tail dependence of foreign exchange market, and estimates the marginal distribution of variables by kernel density. On the basis of this, the mixed Copula model is constructed and the EM algorithm is applied to the parameter estimation of the model. The effect of exchange rate dependence on the stock market is discussed. Because the financial market and the stock correlation is not a particular form of change. Hong Kong's peg to the US dollar is highly correlated on the exchange rate, so this paper selects the US dollar exchange rate from July 22, 2014 to August 26, 2015 to conduct a tail dependence study on the Hong Kong dollar. In the stock market, under the background of exchange rate dependence, the GARCH model is used to study the Hang Seng, Dow Jones and Shanghai Stock Exchange Index selected in the same period. This paper analyzes the spillover effect of foreign exchange market on stock market and the linkage between stock market and stock market according to the dynamic correlation coefficient, and gives the dynamic risk assessment of Shanghai Composite Index at different confidence levels according to the stock market of our country. Finally, the conclusion is drawn that the large fluctuation of the dollar exchange rate does affect the shock and transmission effect between stock markets. This paper continues to summarize the application of Copula theory in the correlation analysis of foreign exchange market, and the application of dynamic correlation coefficient between markets, dynamic risk of stock market and so on, and puts forward the further research and prospect of the problems.
【学位授予单位】：广西师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F827.12
[Abstract]:With the acceleration of globalization, the risks of financial markets are becoming more and more complicated, the market efficiency has been continuously improved, and the current capital has brought continuous turbulence to the financial markets. The traditional hypothesis-based analysis method is no longer suitable for the complex financial market nowadays. The Copula function as a tool has its own advantages to depict the financial risk. In order to study the influence of exchange rate dependence on stock market, this paper applies Copula theory to analyze the tail dependence of foreign exchange market, and estimates the marginal distribution of variables by kernel density. On the basis of this, the mixed Copula model is constructed and the EM algorithm is applied to the parameter estimation of the model. The effect of exchange rate dependence on the stock market is discussed. Because the financial market and the stock correlation is not a particular form of change. Hong Kong's peg to the US dollar is highly correlated on the exchange rate, so this paper selects the US dollar exchange rate from July 22, 2014 to August 26, 2015 to conduct a tail dependence study on the Hong Kong dollar. In the stock market, under the background of exchange rate dependence, the GARCH model is used to study the Hang Seng, Dow Jones and Shanghai Stock Exchange Index selected in the same period. This paper analyzes the spillover effect of foreign exchange market on stock market and the linkage between stock market and stock market according to the dynamic correlation coefficient, and gives the dynamic risk assessment of Shanghai Composite Index at different confidence levels according to the stock market of our country. Finally, the conclusion is drawn that the large fluctuation of the dollar exchange rate does affect the shock and transmission effect between stock markets. This paper continues to summarize the application of Copula theory in the correlation analysis of foreign exchange market, and the application of dynamic correlation coefficient between markets, dynamic risk of stock market and so on, and puts forward the further research and prospect of the problems.
【学位授予单位】：广西师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F827.12
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