基于Copula模型的沪港通后两地股市的相关性分析

Correlation Analysis Between Two Stock Markets After Shanghai-Hong Kong Stock Connect Program Based on Copula Model

选用自2014年11月17日至2015年3月27日沪港通之后的上证指数和香港恒生指数的收益率为样本数据,采用参数法和非参数法分析了沪港两市日收益率的边缘分布,并利用二元正态copula模型和二元t-copula模型,分析了沪港两市的线性相关性。结果表明,沪港两市收益率存在一定的正相关关系,但相关度较低,表明沪港通并没有较大的缩减两地股市的价格差异。

The data from the ROI of the SSE（Shanghai Stock Exchange）Composite Index and HSI（Hang Seng Index）between Nov.17 th 2014and Mar.27 th 2015after Shanghai-Hong Kong Stock Connect Program,the marginal distribution of the ROI of Shanghai and Hong Kong Stock Exchanges was analyzed by means of parametric and non-parametric methods.Binary normal copula model and binary t-copula model were used to study the relevancy between the two markets.Results show that：although there is positive correlation between the ROIs of two stock markets,the degree of correlation is low.