产业链视角下股价收益的尾部相依性趋势分析

Trend Analysis of Tail Dependence of Stock Price Returns from the Perspective of Industrial Chain

从产业链视角出发,考虑数据间的趋同性与内生性,立足样本间的内涵关联程度,选择实证样本进行建模和计算,对股价收益的尾部相依性趋势进行分析。具体方法上,考虑到样本时间选择的趋势影响,以及相关性测度的显著程度,在对样本进行趋势测度与类分的基础上,引入相关性更明显的尾部测度模型,对具备内涵关联样本的尾部相依性进行分析和计算。实证研究中,以汽车产业链上市公司为研究对象,通过对其股价数据的提炼,进行产业链视角下股价收益的尾部相依性趋势分析和相关性计算。结果表明:趋势泡沫期与趋势反泡沫期产业链上企业股价收益存在尾部相关,趋势反泡沫期相关性较强,趋势泡沫期上尾相关性较强,趋势反泡沫期下尾相关性较强。研究结论为极端环境下汽车行业的股票投资与风险管理提供了数据参考和理论支持。

From the perspective of industrial chain,by taking the convergence and endogeneity among data into consideration and selecting empirical samples for modeling and calculation,the article attempts to analyze the trend of tail dependence of stock price returns based on the degree of connotative association among samples.In terms of specific methods,considering the trend impact of sample time selection and the significance of the correlation measurement,the article introduces a tail measurement model with more obvious correlation based on the trend measurement and classification of the samples,so as to analyze and calculate the tail dependence of the connotative-related samples.In the empirical study,the article takes listed companies in the automobile production and sales chain as research objects,and through the refinement of the stock price data,trend analysis and correlation calculation of the tail dependence of stock price returns under the perspective of the industrial chain are made.The results show that there is a tail correlation in the stock price returns of enterprises of the industrial chain during the trend bubble and anti-bubble periods.The conclusion provides data reference and theoretical support for stock investment and risk management in the automobile industry under extreme environment.