论文部分内容阅读
本文应用半参数Copula方法研究了资本市场开放、股权分置改革前后我国A股与亚洲及欧美主要股市之间的相关结构,并利用非参数Chi图捕捉尾部相依结构的特性来选择合适的Copula估计模型。实证结果表明:2005年之前,A股与其他国际股市之间没有明显的相依结构;2006年我国股市基本完成股权分置改革之后,A股与其他市场之间的联动性增强:与亚洲主要股市间形成左强右弱的尾部非对称相依结构,其中与港股、新股的相依性最强;而与美股、德股仅存在左尾相关关系,且关联度较弱。
In this paper, the semi-parametric Copula method is applied to study the correlation between China’s A shares and major stock markets in Asia and Europe before and after the capital market liberalization and non-tradable share reform, and the non-parametric Chi chart is used to capture tail-dependent structures to select the appropriate Copula estimator model. The empirical results show that there is no obvious dependent structure between A-shares and other international stock markets before 2005. After the completion of the non-tradable share reform in China in 2006, the linkage between A-shares and other markets has been strengthened. Compared with other major stock markets in Asia, Between the left and the right weak weak tail asymmetric dependency structure, with Hong Kong stocks, new shares the strongest dependencies; and US stocks, Germany stocks only exist left tail correlation, and the degree of correlation is weak.