中国沪市A股与东亚主要股市间相依性结构研究——基于半参数copula方法的实证分析

A Study on Dependence Structure between A-Share in China’s Shanghai Stock Market and Main Stock Markets in East Asia:An Empirical Analysis Based on Semi-parametric Copula Methods

中文关键词:  高斯copula  SJC copula  相依性  股市间感染

英文关键词:Gaussian copula  SJC copula  dependence  contagion on stock markets

中文摘要:

      鉴于协整分析、线性格兰杰因果检验和多元相关性分析在研究大陆股市与世界其他股市间相依性时存在的缺陷，从而可能造成研究结果的分歧，运用半参数copula方法研究发现，沪市A股与东亚主要股市间存在明显的相依性。特别是在次贷危机中，沪市A股与东亚主要股市间还呈现一定程度的感染，这种感染表现为市场间的一般相依性的增强。另外，在异常事件发生时，沪市A股与恒生指数、日经指数及韩国综合指数的尾部相依性存在非对称性，它们间发生同跌的可能性更高，而沪市A股指数与中国台湾加权指数及海峡时报指数的尾部相依性基本对称，它们间发生同涨、同跌的概率几乎均等。

英文摘要:

      In view of the drawbacks of cointegration, linear Granger causality test and multi-variables correlations in analyzing the dependence between China’s stock markets and other stock markets in the world, which potentially causes a controversy, this paper employs the semi-parametric copula methods and finds the obvious dependence existing in A-share on Shanghai Stock Exchange and main stock markets in East Asia. Particularly in the subprime mortgage crisis, there has appeared some contagions between A-share and main stock markets in East Asia, which is represented by the increase in dependence. Additionally, in case any exceptional event occurs, A-share on Shanghai Stock Exchange Index has some asymmetries in tail dependence with Hang Seng Index, Nikkei 225, and Seoul Composite, which implies a bigger probability for their simultaneous downturns. However, A-share on Shanghai Stock Exchange has symmetries basically with Chinas Taiwan Weighted Index and Straits Times Index, which implies an equal probability for their simultaneous downturns and upturns.