本文關(guān)鍵詞： Copula函數(shù) 二元正態(tài)Copula函數(shù) 二元t-Copula函數(shù) 極大似然估計 上證綜合指數(shù) 上證地產(chǎn)指數(shù)　出處：《華中師范大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著全球經(jīng)濟一體化的發(fā)展,國際股市之間的聯(lián)動性也呈現(xiàn)升溫態(tài)勢,經(jīng)過了美國金融危機、歐債危機,此觀點得到了認(rèn)同。2007年2月27日,全球股市呈現(xiàn)多米諾骨牌效應(yīng),從歐洲到美國股市相繼大跌,紐約股市出現(xiàn)了自“911事件”以來的單日最大跌幅。這一天,中國股市也出現(xiàn)暴跌,創(chuàng)下10年來的單日最大跌幅。 股票市場代表的是經(jīng)濟的晴雨表,它在我國的經(jīng)濟發(fā)展中占據(jù)了重要的位置。隨著中國改革開放一體化進程步伐的加快,特別是房地產(chǎn)市場,已經(jīng)成為經(jīng)濟發(fā)展最重要的因素之一。美國的次貸危機就是由于房地產(chǎn)市場泡沫破滅形成的,在此,應(yīng)當(dāng)引起我們的特別注意。因為如今中國房地產(chǎn)市場泡沫正處于瀕臨破裂的關(guān)鍵時期,倘若處理不好極有可能成為海外金融機構(gòu)狙擊的對象,造成慘痛的局面。如1997年索羅斯狙擊港幣,結(jié)果在1997年10月23日香港股市暴跌,400億美元的股票市值煙消云散。索羅斯的狙擊使恒生指數(shù)從16673點的高峰一直跌到6660點,跌去了60%。 本文主要研究的是上證地產(chǎn)指數(shù)與上證綜合指數(shù)的相關(guān)性,前人的研究分析工作大多是基于線性相關(guān)的分析方法,現(xiàn)在我們引入Copula理論,它是一種可以研究非線性、非對稱相關(guān)的統(tǒng)計理論。 本文主要應(yīng)用Copula理論進行實證分析,通過模型基本統(tǒng)計量和模型中的參數(shù)估計值來反映市場之間的聯(lián)動性。本文選取了上證綜合指數(shù)(代碼“000001”)和上證地產(chǎn)指數(shù)(代碼“000006”)作為研究對象,考慮到金融危機帶來的影響,選取了2004年1月4日至2012年12月31日每日收盤數(shù)據(jù),通過二元正態(tài)Copula函數(shù)和二元t-Copula函數(shù)模型,利用極大似然估計得到模型中的參數(shù)估計值。通過分析參數(shù)估計值發(fā)現(xiàn),上證地產(chǎn)指數(shù)與上證綜合指數(shù)的聯(lián)動性很強,上證地產(chǎn)指數(shù)大幅上漲或者下跌,上證綜合指數(shù)也隨之發(fā)生上漲或者下跌的概率高達(dá)49.08%。
[Abstract]:With the development of global economic integration, the linkage between international stock markets is also warming up. After the financial crisis in the United States and the European debt crisis, this view has been agreed. In February 27th 2007, the global stock market showed a domino effect. Stocks from Europe to the United States tumbled and New York suffered its biggest one-day decline since 9 / 11. On that day, Chinese stocks also tumbled, their biggest one-day decline in a decade. The stock market represents the barometer of the economy, which occupies an important position in the economic development of our country. With the acceleration of the process of China's reform and opening up and integration, especially the real estate market, Has become one of the most important factors in economic development. The subprime mortgage crisis in the United States was caused by the bursting of the bubble in the real estate market. We should pay special attention. Because the bubble in China's real estate market is now on the verge of bursting, if it is not handled properly, it is likely to be the target of attack by overseas financial institutions. Soros' sniper attack on the Hong Kong dollar in 1997, for example, sent the Hong Kong stock market tumbling on October 23rd 1997, with market value, the $40 billion stock market, vanishing. Soros's sniper attack sent the Hang Seng Index down from its 16673 peak to 6,660. This paper mainly studies the correlation between Shanghai real estate index and Shanghai composite index. The previous research and analysis work is mostly based on linear correlation analysis method. Now we introduce Copula theory, which can be used to study nonlinearity. Statistical theory of asymmetric correlation. This article mainly uses Copula theory to carry on the empirical analysis, This paper chooses Shanghai Composite Index (Code "000001") and Shanghai Stock Exchange Real Estate Index (Code "000006") as the research object, considering the impact of the financial crisis. The daily closing data from January 4th 2004 to December 31st 2012 are selected. By using the binary normal Copula function and the binary t-Copula function model, the parameter estimates in the model are obtained by maximum likelihood estimation. Shanghai real estate index and Shanghai composite index of strong linkage, the Shanghai real estate index rose or fell sharply, the Shanghai Composite Index also rose or fell with the probability of up or down as high as 49.08.
【學(xué)位授予單位】：華中師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F299.23;F832.51

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本文編號：1499992