基于Copula函數(shù)的匯率相依性及其對股票市場影響研究
發(fā)布時間：2018-10-19 15:43
【摘要】：全球化的加快,金融市場風(fēng)險日益的復(fù)雜化,市場效率的不斷提高,流動資本帶給金融市場的持續(xù)動蕩,基于傳統(tǒng)假設(shè)的分析方法已不再適用當(dāng)今復(fù)雜變化的金融市場,Copula函數(shù)作為工具對金融風(fēng)險刻畫相關(guān)性有其特有的優(yōu)點。為研究匯率相依性背景下對股票市場影響,本文應(yīng)用Copula理論對外匯市場間的尾部相關(guān)性進行分析,先用核密度估計變量間邊緣分布,在此基礎(chǔ)上構(gòu)建混合Copula模型并將EM算法應(yīng)用到該模型的參數(shù)估計上,得出了匯率間具有明顯的上尾相關(guān)性,進而討論匯率相依性對股票市場的影響。由于金融市場以及股票間相關(guān)關(guān)系不是某種特定變化形式。匯率上,香港盯住美元關(guān)聯(lián)性是比較大的,因此本文選用2014年7月22日至2015年8月26日美元匯率與港幣進行尾部相依性研究。股票市場上,匯率相依性背景下利用GARCH類模型分別對同時期選取的恒生、道瓊、上證指數(shù)研究,分析出外匯市場對股票市場存在溢出效應(yīng)以及依據(jù)動態(tài)相關(guān)系數(shù)反映與股市間聯(lián)動狀況,并針對我國股票市場,對上證綜合指數(shù)給出了不同置信水平下的動態(tài)風(fēng)險評估,最后得出美元匯率大幅度波動確實影響股市間的震動及傳遞效應(yīng)等結(jié)論。本文繼續(xù)對Copula理論在外匯市場相關(guān)性分析的應(yīng)用中進行了總結(jié),及市場間動態(tài)相關(guān)系數(shù)、股市動態(tài)風(fēng)險等運用,進一步提出問題的研究和展望。
[Abstract]:With the acceleration of globalization, the risks of financial markets are becoming more and more complicated, the market efficiency has been continuously improved, and the current capital has brought continuous turbulence to the financial markets. The traditional hypothesis-based analysis method is no longer suitable for the complex financial market nowadays. The Copula function as a tool has its own advantages to depict the financial risk. In order to study the influence of exchange rate dependence on stock market, this paper applies Copula theory to analyze the tail dependence of foreign exchange market, and estimates the marginal distribution of variables by kernel density. On the basis of this, the mixed Copula model is constructed and the EM algorithm is applied to the parameter estimation of the model. The effect of exchange rate dependence on the stock market is discussed. Because the financial market and the stock correlation is not a particular form of change. Hong Kong's peg to the US dollar is highly correlated on the exchange rate, so this paper selects the US dollar exchange rate from July 22, 2014 to August 26, 2015 to conduct a tail dependence study on the Hong Kong dollar. In the stock market, under the background of exchange rate dependence, the GARCH model is used to study the Hang Seng, Dow Jones and Shanghai Stock Exchange Index selected in the same period. This paper analyzes the spillover effect of foreign exchange market on stock market and the linkage between stock market and stock market according to the dynamic correlation coefficient, and gives the dynamic risk assessment of Shanghai Composite Index at different confidence levels according to the stock market of our country. Finally, the conclusion is drawn that the large fluctuation of the dollar exchange rate does affect the shock and transmission effect between stock markets. This paper continues to summarize the application of Copula theory in the correlation analysis of foreign exchange market, and the application of dynamic correlation coefficient between markets, dynamic risk of stock market and so on, and puts forward the further research and prospect of the problems.
【學(xué)位授予單位】：廣西師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F224;F827.12
[Abstract]:With the acceleration of globalization, the risks of financial markets are becoming more and more complicated, the market efficiency has been continuously improved, and the current capital has brought continuous turbulence to the financial markets. The traditional hypothesis-based analysis method is no longer suitable for the complex financial market nowadays. The Copula function as a tool has its own advantages to depict the financial risk. In order to study the influence of exchange rate dependence on stock market, this paper applies Copula theory to analyze the tail dependence of foreign exchange market, and estimates the marginal distribution of variables by kernel density. On the basis of this, the mixed Copula model is constructed and the EM algorithm is applied to the parameter estimation of the model. The effect of exchange rate dependence on the stock market is discussed. Because the financial market and the stock correlation is not a particular form of change. Hong Kong's peg to the US dollar is highly correlated on the exchange rate, so this paper selects the US dollar exchange rate from July 22, 2014 to August 26, 2015 to conduct a tail dependence study on the Hong Kong dollar. In the stock market, under the background of exchange rate dependence, the GARCH model is used to study the Hang Seng, Dow Jones and Shanghai Stock Exchange Index selected in the same period. This paper analyzes the spillover effect of foreign exchange market on stock market and the linkage between stock market and stock market according to the dynamic correlation coefficient, and gives the dynamic risk assessment of Shanghai Composite Index at different confidence levels according to the stock market of our country. Finally, the conclusion is drawn that the large fluctuation of the dollar exchange rate does affect the shock and transmission effect between stock markets. This paper continues to summarize the application of Copula theory in the correlation analysis of foreign exchange market, and the application of dynamic correlation coefficient between markets, dynamic risk of stock market and so on, and puts forward the further research and prospect of the problems.
【學(xué)位授予單位】：廣西師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F224;F827.12
【相似文獻】
相關(guān)期刊論文 前10條
1 羅俊鵬;;基于Copula的金融市場的相關(guān)結(jié)構(gòu)分析[J];統(tǒng)計與決策;2006年16期
2 孫志賓;;混合Copula模型在中國股市的應(yīng)用[J];數(shù)學(xué)的實踐與認(rèn)識;2007年20期
3 李娟;戴洪德;劉全輝;;幾種Copula函數(shù)在滬深股市相關(guān)性建模中的應(yīng)用[J];數(shù)學(xué)的實踐與認(rèn)識;2007年24期
4 李軍;;Copula-EVT Based Tail Dependence Structure of Financial Markets in China[J];Journal of Southwest Jiaotong University(English Edition);2008年01期
5 許建國;杜子平;;非參數(shù)Bernstein Copula理論及其相關(guān)性研究[J];工業(yè)技術(shù)經(jīng)濟;2009年04期
6 王s，
本文編號：2281577
本文鏈接：http://www.lk138.cn/kejilunwen/yysx/2281577.html
最近更新
教材專著
