计算机技术与发展Issue(3)：245-248,4.DOI:10.3969/j.issn.1673-629X.2013.03.062
基于Copula的深沪股票市场相依性实证研究
An Empirical Research on Dependency of Chinese Stock Markets Based on Copula
摘要
Abstract
Stock market has functions of optimizing allocation of social resources,improving capital efficiency and accurately revealing the price information,and so on. What's more,the stock market is a barometer of macroeconomic. To empirically analyze the dependency of Chinese stock markets,it can not only easily make investors optimize their investment portfolio according to the resulted dependency,but also provide referential basis for improvement of stock market operation efficiency and supervision. It empirically analyzes dependency of Chinese stock markets by Copula theory and rank-correlation coefficient. The results indicate the dependency of Chinese stock markets is highly correlated, and manifest t-Copula can effectively portray their dependency structure of Shenzhen and Shanghai markets through Q-Q test of goodness of fit. Both markets characterize with violent vacillation,but have weak tail dependence.关键词
股票市场/Copula理论/相依结构/Q-Q拟合优度检验Key words
stock market/Copula theory/dependent structure/Q-Q test of goodness of fit分类
管理科学引用本文复制引用
唐吉洪,管昊,吴云勇..基于Copula的深沪股票市场相依性实证研究[J].计算机技术与发展,2013,(3):245-248,4.基金项目
2012年度辽宁省高等教育本科教学改革研究项目(669) （669）
2011年度渤海大学教改项目(92) （92）
