经济与管理研究Issue(8)：38-45,8.
中国大陆与其主要贸易伙伴股市间的极值关联性
Extreme-value Dependence Between China Mainland's Stock Market and Its Major Trade Partners'Stock Markets
摘要
Abstract
This paper uses tail-dependence coefficient to measure the extreme-value dependence.It studies the extreme-value dependence between the stock markets of China and its seven prime trade partners,after China becomes one of the members of the World Trade Organization(WTO).Besides,it explores the dependence between the stock markets of China and the whole world.The results show that it is more probable for China and other countries or regions in Asia to have stock market crash simultaneously.Moreover,from the viewpoint of taking the global stock markets as a whole,it is now impossible for the investors to disperse completely the extreme-value risk by allocating the assets in China's stock market and others.Therefore,if the investors mean to invest in the other countries or regions stock markets,as well as in China's stock market,they should choose the European and North American stock markets in order to reduce the probability of occurrence of the tail events.关键词
尾部相依性/极值理论/资产配置Key words
tail dependence/extreme value theory/asset allocation分类
管理科学引用本文复制引用
马勇,张正军..中国大陆与其主要贸易伙伴股市间的极值关联性[J].经济与管理研究,2015,(8):38-45,8.基金项目
湖南大学中央高校基本科研业务费专项资金资助项目“考虑跳跃聚集特征的信用风险度量与衍生品定价研究” （）
