西安交通大学学报：社会科学版
西安交通大學學報：社會科學版
서안교통대학학보：사회과학판
Journal of Xi'an Jiaotong University(Social Sciences)
2010年
4期
21~26
,共null页
基金 股票 国债 尾部相关性 time-varying copula
基金 股票 國債 尾部相關性 time-varying copula
기금 고표 국채 미부상관성 time-varying copula
funds; stocks; treasury bonds; tail dependence; time-varying copula
全面的风险管理既要考虑正常状态,也要考虑极端情况,为此,利用上证指数数据,采用Time-varying Copula函数对极端市场环境下基金指数、股票指数和国债指数的尾部相关性进行了研究,发现三者相互间有较为显著的下尾相关,上尾相关相对不明显,其中基金和股票、基金和国债、股票和国债之间的下尾相关性依次减弱,因此,从分散风险的角度来看,用股票和国债构建投资组合比用基金和国债组合更好。
全麵的風險管理既要攷慮正常狀態,也要攷慮極耑情況,為此,利用上證指數數據,採用Time-varying Copula函數對極耑市場環境下基金指數、股票指數和國債指數的尾部相關性進行瞭研究,髮現三者相互間有較為顯著的下尾相關,上尾相關相對不明顯,其中基金和股票、基金和國債、股票和國債之間的下尾相關性依次減弱,因此,從分散風險的角度來看,用股票和國債構建投資組閤比用基金和國債組閤更好。
전면적풍험관리기요고필정상상태,야요고필겁단정황,위차,이용상증지수수거,채용Time-varying Copula함수대겁단시장배경하기금지수、고표지수화국채지수적미부상관성진행료연구,발현삼자상호간유교위현저적하미상관,상미상관상대불명현,기중기금화고표、기금화국채、고표화국채지간적하미상관성의차감약,인차,종분산풍험적각도래간,용고표화국채구건투자조합비용기금화국채조합경호。
It is needed for all-round risk management to consider both the normal and extreme conditions in the market.For this purpose,we have made an investigation on the tail dependence of the fund index,stock index and Treasury bond index in the extreme market environment by using the index data of the Shanghai Stocks Exchange from 2003.2 to 2008.4,and time-varying copula function.It is found that of the three,there is a relatively significant lower dependence,but there is comparatively insignificant upper tail dependence.Of them,the lower dependence between funds and stocks,funds and treasury bonds,and stocks and treasury bonds is weakened successively.From the angle of diversifying risks,therefore,the forming of the portfolio with stocks and treasury bonds is better than that with funds and treasury bonds.
