| 沪深股市收益的相关性 |
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| 引用本文： | 姚燕云,杨国孝.沪深股市收益的相关性[J].数理统计与管理,2006,25(1):78-83. |
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| 作者姓名： | 姚燕云 杨国孝 |
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| 作者单位： | 北京理工大学理学院,北京,100081 |
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| 摘 要： | 以概率作为相关度量指标,分整体相关性和尾部相关性对沪深两市收益进行考察。整体相关性采用概率方法中的变化协调形成的相关性作为度量,结果表明沪深两市收益在整体上具有一定的正相关性。对于尾部相关性,先用t分布分别拟事两市收益底分布,然后用蒙特卡洛模拟确定尾部的最优门限,进而求得尾部相关性,结果显示当市场剧烈波动时两市收益具有正的相关性,且比整体相关性强,尤其在暴跌的时候,两市具有很强的正相关性。
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| 关 键 词： | 收益 整体相关性 尾部相关性 t-分布 蒙特卡洛模拟 |
| 文章编号： | 1002-1566(2006)01-0078-06 |
| 收稿时间： | 2004-07-02 |
| 修稿时间： | 2004年7月2日 |
Correlation of the Returns in Shangai and Shenzhen Securities Exchanges |
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| YAO Yan-yun,YANG Guo-xiao.Correlation of the Returns in Shangai and Shenzhen Securities Exchanges[J].Application of Statistics and Management,2006,25(1):78-83. |
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| Authors: | YAO Yan-yun YANG Guo-xiao |
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| Institution: | School of Science, Beijing Institute of Tech, Beijing 100081, China |
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| Abstract: | Probability is used to measure the correlation of returns in Shanghai and Shenzhen Securities Exchanges.It is investigated by whole and tail correlation respectively.Firstly,correlation forming by change and harmony,one of the probability measurements,is employed to measure the whole correlation.As a result,the whole correlation is positive.Sceondly,the tail correlation is studied.The returns are fitted by t-distribution,the optimal threshold is determined by Monte-Carlo simulation,and then the tail correlation is obtained.The result shows that when the markets flucturate strongly,the tail correlation is positive and it is larger than the whole correlation,in particular when the markets fall sharply,the markets have very strong positive correlation. |
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| Keywords: | return whole correlation tail correlation t-distribution Monte-Carlo simulation |
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