| The process of global economic and financial integration has led to the increasingly close relationship between the global financial market,and the stock market plays a very important role in the financial market of all countries.As the main carrier of the capital market,the stock market plays a non-negligible role in the financing of capital.The high frequency of the stock market for trading,liquidity is higher,often reflect the risk of the most sensitive,so the study of the correlation between the stock market has A certain significance,this paper takes the a-share market in our country as the anchor,the a-share market in China and other important global stock market as A whole and tail correlation dynamically.In the research of correlation problem,the traditional correlation model can only solve the problem of linear correlation between financial variables,but it is difficult to solve the problem of nonlinear correlation between financial variables in the actual situation.This article chooses the solve the problem of financial variables of correlation is the most effective model of copulas connect using the maximum likelihood parameter estimation of two phase method to measure the a-share market and other important global stock market from 2005 to 2019,the change of the whole dynamic correlation and tail,the csi 300 index,the s&p 500 index,the hang seng index,the nikkei 225 index,the ftse 100 index respectively as A measure of the a-share market,the U.S.stock market,the Hong Kong stock market,Japan's stock market,the stock market performance of representative index.We through the GJR-GRACH model representative of national stock market index the logarithm yield of marginal distribution fitting,the study found that:the index logarithm yield has obvious leverage,the leverage effect of csi 300 minimum,the nikkei 225 the greatest leverage,alpha+beta available from parameters,A shares and the effect of the Hong Kong market volatility to be permanent.Part in the second stage copulas connect parameter estimation,respectively choose S JC copulas connect and T-copulas connect to estimate the market index logarithm yield of the tail and the overall correlation,the study found that:the overall relevance,a-share market in China and Hong Kong are the most relevant,relatively weak correlation with Japan,the United States,Britain,Japan,the United States in the past two years A shares,stocks overall correlation has A tendency to progressively stronger;In the tail correlation part,the bottom tail correlation between China's a-share market and other important global stock markets is obviously higher than the top tail correlation,which is also in line with the a-share investors' summary of the "follow the fall not follow the rise" experience.The correlation between the upper and lower tails of China's a-share market and the Hong Kong stock market is the closest,especially the correlation with the bottom tail of the Hong Kong stock market has shown an overall trend of gradual rise in the past two years,but the correlation with the top tail has not changed much,so investors should be alert for the impact of the stock market crash on the a-share correlation.The correlation between China and the Japanese stock market,the us stock market and the UK stock market is relatively small,which indicates that China is currently under the control of the impact of the sharp rise of the Japanese stock market,the us stock market and the UK stock market.For the above research results,this paper puts forward targeted policy Suggestions from four levels:regulatory layer,investors,financial institutions and listed companies. |
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