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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.
Using the ASV-EVT model as the edge distribution function, the correlation between the QFII and HS300 indices was studied by using three Copula clusters.The results show that the BB1 copula characterizes the non-linear and asymmetric features of the two exponential tail , And better fit the relevant structure, indicating that the correlation between the two indices in the downturn period was significantly higher than the correlation between the active periods.At the same time, the backtesting test showed that the Copula-ASV-EVT model can effectively measure the market risk of the two index combinations In addition, based on the empirical data from 2006 to 2012, we conclude that QFII has strong evidence that value investing has been insisted on.At the same time, as the number of QFII increases and the dividend payout system of listed companies improves, the Chinese securities market is facing an excellent opportunity for the rational return of value investment.