论文部分内容阅读
本文采用时变copula的方法,对2006年11月1日到2011年3月10日上证综指和深证成指的相关性进行分析,得到了两者之间随时间变化的相关性,发现在2006年到2008年底,上证综指和深证成指的相关性变化比较大,而2009年初至今,两者之间高度相关,并没有大的时变点,说明我国的证券市场逐渐走向成熟,且上证与深证之间的替代性加强了。
In this paper, the method of time-varying copula was used to analyze the correlation between Shanghai Composite Index and Shenzhen Component Index from November 1, 2006 to March 10, 2011. The correlation between the two changes over time was obtained and found From 2006 to the end of 2008, the correlation between the Shanghai Composite Index and the Shenzhen Component Index changed greatly. However, from the beginning of 2009 to the present, there is a high degree of correlation between the two and there is no big time-shift point, indicating that China’s securities market is gradually becoming mature , And the alternative between Shanghai and Shenzhen strengthened.