中国大陆与其主要贸易伙伴股市间的极值关联性

Extreme-value Dependence Between China Mainland's Stock Market and Its Major Trade Partners' Stock Markets

本文运用尾部相依系数作为度量极值关联性的工具,首先研究中国加入世界贸易组织后大陆股市与七个主要贸易伙伴股市的极值关联性强弱,即股市同时极端下跌的风险性大小;其次研究中国加入世界贸易组织前后大陆股市与世界股市整体的极值关联性变化情况。结果发现:相比欧美股市,中国大陆股市与亚洲股市联系更紧密,同时发生极端下跌的可能性更大。整体而言,中国大陆股市与世界其他股市配置资产已无法完全分散极值风险。因此,若投资者在中国大陆股市进行投资的同时也寻求其他国家或地区股市,为了降低极值风险发生的概率,应选择欧美国家的股市。

This paper uses tail-dependence coefficient to measure the extreme-value dependence. It studies the extreme-value dependence between the stock markets of China and its seven prime trade partners,after China becomes one of the members of the World Trade Organization（ WTO）. Besides,it explores the dependence between the stock markets of China and the whole world. The results show that it is more probable for China and other countries or regions in Asia to have stock market crash simultaneously. Moreover,from the viewpoint of taking the global stock markets as a whole,it is now impossible for the investors to disperse completely the extreme-value risk by allocating the assets in China＇s stock market and others. Therefore,if the investors mean to invest in the other countries or regions stock markets,as well as in China＇s stock market,they should choose the European and North American stock markets in order to reduce the probability of occurrence of the tail events.