基于面板Copula的中美股票市场相依性研究

A Research on Dependency of China and USA Stock Markets Based on Panel Copula

随着经济自由化程度的加深,股票市场间的关联性越来越强,任何一个股票市场的波动都会对其他股票市场产生影响,以致于对国家或地区的宏观经济长期稳定发展带来不确定因素。本文使用面板数据与Copula函数相结合的方法构建面板Copula模型,并将该模型应用于中国内地、中国香港与美国三个地区股票市场相依性的研究。通过实证分析得出三个地区股票市场的相依程度,并在此基础上采用Granger因果分析得出股票市场波动传播的方向。

Due to the greater liberalization of economy, the correlation between stock market is more and more strong. Any fluctuation in one stock market have an effect on others which will bring uncertainties to the long-term stability of macro-economic.Panel Copula is proposed in this paper combining panel data with copula method. The paper applies the model to the study of the dependency of Shanghai Shenzhen 300 Index、Heng Sheng Index and the NASDAQ Index stock market. Through empirical analysis,we get the dependency of these markets as well as the direction of the transmission of these markets based on the Granger causality analysis.