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基于向量自回归(vector autoregression,VAR)误差修正模型,结合Copula理论建立VAR-Copula模型研究股市指数与交易量之间的Granger因果关系和相依结构.通过对三个股票市场的实证分析,发现各市场的指数与交易量之间存在长期的协整关系和由指数到交易量的单向因果关系;指数对数收益率与交易量对数差分的相依关系复杂,既有正的相依成分也包含负的相依结构,且都表现为上尾高的非对称的相依特征.
Based on the error correction model of vector autoregression (VAR) and VAR-Copula model of Copula theory, this paper studies the Granger causality and the dependency structure between the stock index and the trading volume.Through the empirical analysis of the three stock markets, There is a long-term cointegration relationship between market index and trading volume and one-way causal relationship between index and trading volume. The dependence between logarithmic yield and logarithmic difference of transaction volume is complex. Both positive and dependent components also contain Negative dependent structure, and all showed the upper tail asymmetric dependent features.