CAJ | 학술논문

利用时变Copula研究开放进程下中国大陆股市与国际主要股市间的风险传染问题.用AR（1）-GJR（1,1）-t模型描述各国股指收益率的边际分布,以时变SJC Copula描述股指收益率间的动态相依性,分析中国大陆股市与美国股市、英国股市、日本股市以及香港股市2000年1月至2010年11月期间的风险联动,实证结果表明：在开放进程中中国大陆股市与美国、英国以及日本股市一直保持微弱的下尾相依关系,而与香港股市间的下尾相依性则随开放程度增加整体上呈显著上升趋势;而与各国际股市的上尾相依性则一直保持较低的水平.
이용시변Copula연구개방진정하중국대륙고시여국제주요고시간적풍험전염문제.용AR（1）-GJR（1,1）-t모형묘술각국고지수익솔적변제분포,이시변SJC Copula묘술고지수익솔간적동태상의성,분석중국대륙고시여미국고시、영국고시、일본고시이급향항고시2000년1월지2010년11월기간적풍험련동,실증결과표명：재개방진정중중국대륙고시여미국、영국이급일본고시일직보지미약적하미상의관계,이여향항고시간적하미상의성칙수개방정도증가정체상정현저상승추세;이여각국제고시적상미상의성칙일직보지교저적수평.
The paper proposes a time-varying Copula to study financial contagion issues between China mainland and major international stock markets in the opening process of Chinese capital markets.By modeling marginal distributions as AR（1）-GJR（1,1）-t and dependence relations as time-varying SJC Copula, the paper analyzes time-varying co-movements between China mainland and US,UK,Japan,HK stock markets in the interval from Jan 2000 to Nov 2010.The empirical results show that：the lower-tail dependence with US,UK and Japan still stays in a weak level,while the lower tail dependence with HK steadily keeps increasing in the opening process;the upper-tail dependence with all international major stock markets shows a consistent low level.