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本文运用Copula模型对股指期货市场和股票市场的相关性与尾部相关性进行了实证研究。实证结果显示股指期货收益率与上证综指收益率之间表现出高度的正相关性和尾部相关性,t Copula模型能较好反映两者间的相关性;股指期货成交量变化率与上海股市成交量变化率之间具有正向相关性,表明两个市场之间具有互补效应,但尾部相关性低,正态Copula模型能较好反映两者间的相关性。
This paper uses Copula model empirical research on the correlation and tail of stock index futures market and stock market. The empirical results show that the returns of stock index futures and the Shanghai Composite Index show a high degree of positive correlation and tail correlation between the t Copula model can better reflect the correlation between the two; stock index futures volume change rate and the Shanghai stock market The positive correlation between the rate of change of the volume shows that there is a complementary effect between the two markets, but the tail correlation is low. The normal Copula model can better reflect the correlation between the two.