Shanghai and Shenzhen stock markets empirical research
|Keywords||Granger causality test Copula-GARCH model Tail dependence|
There are many correlation analyses in the finaneial market,and most of them are using linear correlation coefficient.However,the related structures are not always linear.They might be non-normal and asymmetrical.Copula fuction has its unique superiority in financial market correlation analysis.It can be directly used for establishing models,describing non-normal and asymmetrically distribution information in the tail part,which is very significant for practically describing the related structure.This paper is under the background of the financial crisis,using the bivarit Copula-GARCH model, by slecting Shanghai stock composite price index and Shenzhen Sub-component index to do empirical study from January 1, 2003 to December 31, 2010, the boundary is January 1, 2007,so the sample period is divided into two phases. Explore the correlation between the two big stock market in China. The first ,I deseribe the basic statistic characters of the data, and I use the ADF test analysis sequence and steadiness,then I use Granger causality test analysis return causality between the two big stock market, finally according to the theory of Copula to construct Copula-GARCH model to analysis, the paper used respectively Gumbel Copula and Clayton Copula to specific measures the tail dependence between Shanghai and Shenzhen stock market .The empirical results show that there are excess kurtosis and "thick tail" features in Chinese Stock Market, and there are the stationary time series. Through the Granger causality test shows that there indeed exist causal direction relations. In order to specific measure the correlation between Shanghai and Shenzhen stock market, there are strong correlation between the Shanghai stock and Shenzhen stock by using the Copula-GARCH model, and showing that there have stronger in the upper and lower tail dependence, but more strong in the lower tail dependence,and there have asymmetry.There does not change significantly and overall smooth operation. The correlation between two indexes in the bear market is stronger than during the bull market. Investors is unlikely to use portfolio to reduce investment risk between the Shanghai stock and Shenzhen stock.