经济新常态下股市风险相关性测度

Measures of Risk Dependence of Stock Market under “New Normal”Economy

论文以连接函数作为工具,对经济新常态下股市风险相关性测度进行了探讨。利用2009—2014年的深证成份指数和香港恒生指数股票指数,对2008年金融危机后两市风险相关性测度进行了深入研究。研究结果表明,BB1 Copula拟合效果最好。深港两市的相关系数为0.325 3,在股市上涨时,上尾相关系数为0.279 4,在股市下跌时,下尾相关系数为0.184 1,两市的上涨联动协同效应要明显大于下跌时。此结论对研究股市的风险特征有一定的应用价值。

The paper used contiguous function as a tool and discussed the measures of risk dependence of stock market under ＂ new normal＂ economy. Moreover, it also conducted some research on the risk dependence between Shenzhen Component Index and Hang Seng Index from 2009 to 2014. The result showed that BB1 copula fit best. The dependence between two stock markets is 0. 3253,upper tail dependence is 0. 2794 when the stock market rises,and lower tail dependence is 0. 1841 when it falls,so the co-movement of the rise of two markets is apparently higher than that of the fall. This conclusion has a certain application value for studying the risk characteristics of the stock market.