The Mystery of Correlation Structure Between Shanghai and Shenzhen Stock Market Based on Bayesian Copula Research

Operations Research and Management Science ›› 2014, Vol. 23 ›› Issue (2): 213-219.

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The Mystery of Correlation Structure Between Shanghai and Shenzhen Stock Market Based on Bayesian Copula Research

WANG Lu^1,2, HUANG Deng-shi²

1. Department of Statistics, School of Mathematics,Southwest Jiaotong University, Chengdu 610031, China;
2. School of Economics&Management, Southwest Jiaotong University, Chengdu 610031, China

Received:2011-04-26 Online:2014-02-25

沪深股市相关结构之谜:基于贝叶斯Copula的研究

王璐^1,2, 黄登仕²

1.西南交通大学数学学院统计系,四川成都 610031;
2.西南交通大学经济管理学院,四川成都 610031

作者简介:王璐(1979-),男,四川乐山人,博士,副教授,博士后。主要研究方向:金融数量分析、决策分析等。
基金资助:
国家自然科学基金资助项目(71201131);教育部人文社会科学青年研究基金(10YJCZH157);中央高校基本科研业务费专项资金(SWJTU12CX057,SWJTU12ZT14);四川省统计科学研究计划项目(2012sc139);西南交通大学希望之星项目

Abstract

Abstract: There are different opinions about the correlation structure between shanghai and shenzhen stock market based on copula. After the fact that the goodness of copula fit test is affected by parameter estimation, the Bayesian copula selection is introduced, which can separate parameter estimation from the goodness of fit test.Then, the empirical results by the Bayesian copula selection show that the correlation structure between shanghai and shenzhen stock market is time-varying, which causes the difference of the results.

Key words: stock market, correlation structure, bayesian analysis, copula

摘要： 目前沪深股市相关结构的Copula模型选择差异很大,并没有形成统一的认识。在指出现有Copula检验要受到模型参数估计影响后,引入了贝叶斯估计方法将模型参数估计与拟合优度检验有效的分开。接着,沪深股市相关性的贝叶斯实证结果发现两市相关结构Copula模型具有时变特征,势必导致当前研究结果的不一致;同时也反映了Copula对样本区间选择有很强的依赖性。

关键词: 股市, 相关结构, 贝叶斯分析, Copula

CLC Number:

F224.2

WANG Lu, HUANG Deng-shi. The Mystery of Correlation Structure Between Shanghai and Shenzhen Stock Market Based on Bayesian Copula Research[J]. Operations Research and Management Science, 2014, 23(2): 213-219.

王璐, 黄登仕. 沪深股市相关结构之谜:基于贝叶斯Copula的研究[J]. 运筹与管理, 2014, 23(2): 213-219.

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The Mystery of Correlation Structure Between Shanghai and Shenzhen Stock Market Based on Bayesian Copula Research

沪深股市相关结构之谜:基于贝叶斯Copula的研究

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