中美股票市场流动性相依结构的动态特征研究

Analysis of Dynamic Liquidity Dependence Between Chinese and American Stock Market

金融市场间存在着某种相依结构,并呈现复杂性和加强的趋势,特别在金融市场出现极端情况时,这种加强使得暴涨暴跌在若干金融市场内同时出现。研究采用沪深300与标普500指数的流动性时间序列为样本,利用时变Copula函数研究了中美股票市场的流动性动态相依结构特征。研究结果表明:中美两国股市流动性相依结构较稳定,尾部相关性水平较低;金融危机爆发时,两市总体相关系数波动减小,而尾部相关性轻微增加;相依结构存在明显的"政策效应",这种效应将减弱相关性水平,但是寿命短暂。

There are Some dependence structure amoug different financial markets,especially in the case of price fluctu ation.The connection between financial markets both at home and abroad is becoming closer and closer along with the economic integration and globalization. This paper analyzes liquidity dependence between Chinese and American Stock Market based on time-varying copula. The results show that liquidity dependence is stable and tail dependence level is relatively low,the overall fluctuation of correlation coefficient in the two markets reduced and the fluctuation of tail dependence increase slightly in the financial crisis; the dependence structure has obvious ‘policy effects＇,which reduced the level of correlation.