摘要
利用Granger因果检验考察上证基金指数及股票指数间的联动特征,发现股票指数是基金指数的Granger成因.分别对基金指数及股票指数的收益率建立时间序列GARCH模型,引入Archimedean Copula族的函数研究基金与股票收益之间的尾部相关性,研究表明基金指数和股票指数尾部相关性较高,基金市场随股票市场的涨跌而发生变化,且相关性在熊市期间强于牛市期间.
We apply the Granger causality tests to investigate a kind of movement characteristic about the correlated and interactive current in the fluctuation between our country＇s stock and fund indexes. It is found that the stock index causes the Granger of the fund index. We establish the GARCH model on the two return series in order to study the tail dependence between the two indexes by using Archimedean Copula. The study shows that fund index and stock index have high tail dependence. The trend of stock market determines the ups and downs of fund market, and the correlation between two indexes in the bear market is stronger than during the bull market.
出处
《南通大学学报（自然科学版）》
CAS
2009年第2期85-90,共6页
Journal of Nantong University(Natural Science Edition)
基金
上海市重点学科建设资助项目(T0502)
