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基于Copula函数的中国沪市股票交易量与价格相依性分析

发表时间:2012-01-15  浏览量:1402  下载量:458
全部作者: 郑嘉露,王艳丽
作者单位: 中国矿业大学管理学院
摘 要: 选取沪市股票日收盘价与成交量为研究对象,运用Copula函数,度量量价之间的相依度与相依结构,结果显示:交易量与股价有着正相依关系,且具有非常明显的上尾高下尾低的非对称相依结构特征。同时,检验发现,Gumbel Copula能更好地反映交易量与股价之间的结构特征。
关 键 词: 金融市场;Copula函数;交易量;股价;尾部相关性
Title: Correlation between stock price and trading volume of Shanghai Stock Market based on Copula function
Author: ZHENG Jialu, WANG Yanli
Organization: Management School, China University of Mining and Technology
Abstract: In this paper, the data of Shanghai stock closing price and trading volume are used for measuring the correlation and the correlated structure between the stock price and trading volume by Copula function. The results show that, trading volume and stock price have a positive dependence and evident asymmetric tail dependence. Simultaneously, Gumbel Copula can reflect the correlation between trading volume and stock price better.
Key words: financial markets; Copula function; trading volume; stock price; tail dependence
发表期数: 2012年1月第1期
引用格式: 郑嘉露,王艳丽. 基于Copula函数的中国沪市股票交易量与价格相依性分析[J]. 中国科技论文在线精品论文,2012,5(1):99-102.
 
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