Research On Stock Market Risk Spillover And Portfolio Based On Vine Copula Model Under COVID-19

With the rapid development of economic globalization and information technology,the financial markets of various countries and regions are more and more closely connected.From an overall perspective,the global financial market has become a complex system.The experiences of Asian financial crisis and subprime mortgage crisis all demonstrate the importance of exploring cross-regional and cross-market risk interdependence.At the beginning of 2020,the COVID-19 outbreak was unexpected and spread around the world.It not only posed a serious threat to human life and health,but also had a huge impact on international capital markets.In order to investigate the impact of the interdependence of financial markets on volatility spillover,risk transmission and asset allocation,this thesis selects the stock markets of the 10 countries with the largest cumulative COVID-19 cases and China as research samples.Vine Copula model is first used to describe the interdependence structure of stock markets of the 11 countries above.The characteristics of static and dynamic dependence are analyzed.In addition,the static dependence structure of the change point detection,analysis of the international stock market Copula dependence function structural changes and explore its reasons.Secondly,the Vine-Copula-CoVaR model is constructed to measure the static and dynamic risk spillover effects among various stock markets.Finally,Vine Copula model and Monte Carlo simulation method are applied to high-dimensional stock index portfolio,and the Vine-Mean-CVa R portfolio optimization model is constructed with CVa R as risk measurement.The results show that: under the background of the epidemic,the international stock market dependence structure presents the characteristics of aggregation,the French stock market occupies the central position,most stock markets are more interdependent than the upper tail,and the time-varying characteristics are obvious.There were five structural changes in the interdependence structure of international stock markets,which corresponded with the epidemic situation in time.There are two-way asymmetric risk spillover effects among stock markets.The stock markets of Russia,the United States,Brazil,the United Kingdom and Italy are prone to contagion from other stock markets,while the Chinese stock market is not susceptible to risks from foreign markets.COVID-19 has not only deepened regional development cooperation,but also led to the rise of international status in the east and decline in the west.Vine Copula model is applied to investment portfolio,and the new model has significant optimization effect in both improving yield and reducing risk,which enriches the scope of investors’ investment decisions.In this thesis,the research on the trans-market,trans-national and trans-regional financial risk contagion mechanism is of great significance for capturing the contagion and impact of external financial risks,maintaining the normal operation of the whole market network and preventing and resolving financial risks.