北京工商大学学报：社会科学版
北京工商大學學報：社會科學版
북경공상대학학보：사회과학판
JOURNAL OF TECHNOLOGY AND BUSINESS UNIVERSITY
2014年
6期
73~83
,共null页
创业板市场 主板市场 尾部结构 Copula函数
創業闆市場 主闆市場 尾部結構 Copula函數
창업판시장 주판시장 미부결구 Copula함수
GEM market; main board market ; tailed structure; copula function
了解创业板与主板市场间的关系,对于理解两个市场的互动关系以及证券组合的设计和风险评估至关重要.文章利用创业板指数、沪深300指数数据,借助ARMA-GARCH-Normal-Copula和ARMA-GARCH-T-Copula模型分析了创业板和主板之间的相关结构.研究表明：创业板市场的波动要大于主板市场,创业板和主板存在一定的正相关关系,并且存在非对称的尾部结构;在尾部（上尾和下尾）上,创业板对主板的变化反应比主板对创业板的变化反应更强.
瞭解創業闆與主闆市場間的關繫,對于理解兩箇市場的互動關繫以及證券組閤的設計和風險評估至關重要.文章利用創業闆指數、滬深300指數數據,藉助ARMA-GARCH-Normal-Copula和ARMA-GARCH-T-Copula模型分析瞭創業闆和主闆之間的相關結構.研究錶明：創業闆市場的波動要大于主闆市場,創業闆和主闆存在一定的正相關關繫,併且存在非對稱的尾部結構;在尾部（上尾和下尾）上,創業闆對主闆的變化反應比主闆對創業闆的變化反應更彊.
료해창업판여주판시장간적관계,대우리해량개시장적호동관계이급증권조합적설계화풍험평고지관중요.문장이용창업판지수、호심300지수수거,차조ARMA-GARCH-Normal-Copula화ARMA-GARCH-T-Copula모형분석료창업판화주판지간적상관결구.연구표명：창업판시장적파동요대우주판시장,창업판화주판존재일정적정상관관계,병차존재비대칭적미부결구;재미부（상미화하미）상,창업판대주판적변화반응비주판대창업판적변화반응경강.
The comprehensive understanding of GEM and main board markets is to help understand the relationship between the two markets and to correctly design and assess the risk of portfolio. Using the GEM index and the CSI 300 index data, this paper analyzes the related structures between China＇s GEM and main board markets with the aid of ARMA-GARCH-Normal-Copu- la and ARMA-GARCH-T-Copula models. The result shows that the fluctuationshould be greateron GEM than main board market, there is a positive eorrelationbetween the GEM and the main board withan asymmetric tailed structure. The reaction of the GEM to the change of the main board market is stronger on the tail （upper tail and lower tail） than that of the main board market to the change of the GEM.
