中美股指间的动态相依结构及突变因素——基于时变Copula-ARMA-NAGARCH的分析

Dynamic Interdependence and Mutation Factors between China and U.S. Stock Indices: Analysis Based on Time-Varying Copula-ARMA-NAGARCH

中文关键词:  股票市场  股票指数  动态相依  突变因素  时变Copula  时变相关系数

英文关键词:stock market  stock index  dynamic interdependence  mutation factor  time-varing Copula  time-varing coefficient

中文摘要:

      为了克服传统格兰杰因果检验等方法在研究股市相依结构时存在的不足,文章构建了时变Copula-ARMA-NAGARCH模型,研究了中美股指及中国主要股指间的动态相依结构及其突变影响因素。研究发现,中国主要股指间的动态相依关系存在显著差异,中美两国主板间和创业板间的联动关系密切,其相依结构具有显著的突变特征。其中,国际因素对中美股指间的相依结构具有正向影响,对国内股指的相依结构影响不显著；国内因素对国内股指相依结构的影响是正向的,对中美股指间的相依结构影响是负向的,中美两国股票市场表现为非对称的相依结构。

英文摘要:

      To overcome the drawbacks of methods such as Granger causality test in analyzing the interdependence of stock markets, this paper employs the time-varying Copula-ARMA-NAGARCH to study the dynamic interdependence and mutation factors between China and U.S. stock indices. The empirical results show that the dynamic interdependence has significant difference between main indices in China, the interdependence structure has a significant mutation between China and U.S. markets, and the interdependence between main board and GEM board is close. The empirical results show that the degree of correlation is discrepant between main indices in China, the interdependence structure has a significant mutation between China and U.S. markets, and the interdependence between main board and GEM board is close. International factors generate positive impact on the interdependence between China and U.S. stock indices, but have no significant effect on the interdependence of domestic stock indices. Domestic factors have a positive impact on the interdependence of domestic stock indices, but have a negative effect on the interdependence between China and U.S. stock indices. This shows that China and U.S. stock markets have an asymmetric interdependence. 