创业板与主板市场非对称相依性的GMC研究

Study on GMC of the asymmetric dependence between chinext board and the main board

借助广义相关测度的方法实证分析创业板股票市场与主板股票市场之间非对称相依性问题.研究结果表明,创业板与主板市场存在非对称相依性,当GMC值处于低位时,创业板对主板的影响强于主板市场对创业板的影响;当GMC值处于高位时,结论相反;创业板与深圳成指的相依性强于创业板与上证指数的相依性.

In this paper,we analysis the asymmetric dependence between chinext board and main board by using the GMC method.The research results show that there exists significant asymmetric dependence between chinext board market and main board market.If the GMC is low,then the influence of chinext board market to main board market is stronger than the influence of main board market to chinext board market;When the GMC is high,the conclusion is contrary.Then the dependence between chinext board and Shenzhen component index is stronger than the dependence between chinext board and the Shanghai composite index.