CAJ | 학술논문

摘要：证券公司股价是证券公司经营状况以及风险水平的集中反映，其波动的关联性往往是证券公司风险关联性以及证券行业发生系统性风险的重要表现。运用Copula函数对我国8家主要上市证券公司股价收益率上、下尾相依性进行的实证研究表明，我国证券公司之间股价收益率存在明显的上尾相依性与下尾相依性，表明我国证券公司股价进而风险存在较强的关联性。做好证券公司股价关联性的监测，降低其风险的关联性，是防范系统性金融风险的重要内容。
적요：증권공사고개시증권공사경영상황이급풍험수평적집중반영，기파동적관련성왕왕시증권공사풍험관련성이급증권행업발생계통성풍험적중요표현。운용Copula함수대아국8가주요상시증권공사고개수익솔상、하미상의성진행적실증연구표명，아국증권공사지간고개수익솔존재명현적상미상의성여하미상의성，표명아국증권공사고개진이풍험존재교강적관련성。주호증권공사고개관련성적감측，강저기풍험적관련성，시방범계통성금융풍험적중요내용。
Abstract： The stock price of a securities company is tile reflection of its operating conditions and risk level, and the price fluctuation correlation is usually an important indication of securities companies risk correlation and the systematic risk of the entire securities industry. Using Copula function to empirically analyze the stock yields cozTelation of 8 maior listed securities companies, we found obvious up-tail correlation and down-tail correlation, showing our securities companies＇ stock prices strongly correlated with the risk. The key factors to prevent systematic financial risk are the supervision of securities companies＇ stock prices correlation and reducing their risk correlation.