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通过构建机制转换混合Copula模型,考察了沪、深股市与港、台股市间的尾部相依特征,研究发现:它们间的尾部相依性呈非对称动态过程,在低风险状态下,右尾部相依性普遍高于左尾部相依性;而在高风险状态下,左尾部相依性普遍高于右尾部相依性.相对于沪、深股市与台股而言,沪、深股市与港股间的尾部相依性更强,其尾部相依性对外来冲击更敏感;相对于沪市与港、台股市而言,深市与港、台股市间的尾部对外在冲击更敏感.在此次次贷危机中,沪、深股市与港、台股市间极值风险显著增加,并呈现明显的金融感染.而且各尾部相依性的两个结构变化几乎同时发生并分别对应于危机的第一、二阶段,这表明:沪、深股市与港、台股市间的风险呈系统性特征,而危机的第三阶段对沪、深股市与港、台股市间的影响较有限.
By constructing a hybrid Copula model, the tail dependence between Shanghai and Shenzhen stock markets and Hong Kong stock market and Taiwan stock market is investigated. It is found that the tail dependence between them is an asymmetric dynamic process. At low risk, the right tail dependence Generally higher than the left tail dependence; while in the high risk state, the left tail dependence is generally higher than the right tail dependence. Relative to the Shanghai and Shenzhen stock markets and Taiwan stocks, the Shanghai and Shenzhen stock markets tail between the Hong Kong stock market dependence Stronger and its tail dependence more sensitive to external shocks; relative to Shanghai and Hong Kong and Taiwan stock market, the Shenzhen and Hong Kong and Taiwan stock markets tail more sensitive to external shocks in this subprime mortgage crisis, Shanghai , The extreme risk between the Shenzhen Stock Exchange, Hong Kong Stock Exchange and Taiwan Stock Market markedly increased and showed a clear financial infection, and the two structural changes of each tail dependence occurred almost simultaneously and corresponded to the first and second phases of the crisis respectively, The risks between Shanghai and Shenzhen stock markets and those of Hong Kong and Taiwan stock markets are characterized systematically. The third stage of the crisis has a relatively limited impact on the stock market between Shanghai and Shenzhen, Hong Kong and Taiwan.