Investigation of the dynamic correlation between financial markets has important and realistic meaning for the market portfolio, but the dynamic correlation between financial markets often shows ＂nonlinear and asymme...Investigation of the dynamic correlation between financial markets has important and realistic meaning for the market portfolio, but the dynamic correlation between financial markets often shows ＂nonlinear and asymmetrical ＂features, The Copula model can effectively solve these problems. This paper aims to study the dynamic correlation between the second board market and SME board market by building Copula models to the return series of the two boards＇ indexes and calculating the dynamic correlation coefficient between the two markets. The study results show as the following：（1） there is positive correlation between the second board market and SME board market and the correlation is very strong; （2） time-varying Copula model is better than constant correlation Copula model in describing the correlations among financial markets as it captures market return＇ s feature of time-varying; （3） The upper ant lower tail dependence coefficient between GEM and SME board market shows less linkage risk has been found; The upper tail dependence coefficient is bigger than the lower tail dependence coefficient, means that the linkage risk is asymmetric, that is to say the tail dependence coefficient is much stronger in the bear market; The upper tail dependence coefficient and lower tail dependence coefficients are both in the stable interval, the overall volatility is small.展开更多
文摘Investigation of the dynamic correlation between financial markets has important and realistic meaning for the market portfolio, but the dynamic correlation between financial markets often shows ＂nonlinear and asymmetrical ＂features, The Copula model can effectively solve these problems. This paper aims to study the dynamic correlation between the second board market and SME board market by building Copula models to the return series of the two boards＇ indexes and calculating the dynamic correlation coefficient between the two markets. The study results show as the following：（1） there is positive correlation between the second board market and SME board market and the correlation is very strong; （2） time-varying Copula model is better than constant correlation Copula model in describing the correlations among financial markets as it captures market return＇ s feature of time-varying; （3） The upper ant lower tail dependence coefficient between GEM and SME board market shows less linkage risk has been found; The upper tail dependence coefficient is bigger than the lower tail dependence coefficient, means that the linkage risk is asymmetric, that is to say the tail dependence coefficient is much stronger in the bear market; The upper tail dependence coefficient and lower tail dependence coefficients are both in the stable interval, the overall volatility is small.
