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在国际多元化背景下研究金砖国家新兴金融市场的相关结构对厘清多维资产收益分布现实意义重大。考虑到高维建模的困难性,构建了基于藤结构Copula的多维金融市场相关结构测度模型,利用其层次结构、节点顺序、函数类型及估计参数等信息联合反映多维金融市场的复杂相关特征。接着,对金砖国家股票市场内部及外部相关结构进行测度。从结果来看,金砖国家股市受到全球主要资本市场显著影响,故国际多元化是顺应这种趋势的必然选择;金砖国家股市内部相关性较低,可作为国际多元化投资的优选对象,但也说明金融发展方面还缺乏实质性的合作交流。
Studying the related structure of the emerging financial markets in the BRICS under the background of international diversification is of great realistic significance in clarifying the distribution of the returns of multi-dimensional assets. Considering the difficulty of high dimensional modeling, this paper constructs a multidimensional financial market related structure measure model based on copula Copula, and uses the hierarchical structure, node order, function types and estimated parameters to jointly reflect the complex and correlated features of multidimensional financial markets. Then, we measure the related internal and external structure of the BRICS stock market. As a result, the BRICS stock markets are significantly affected by the major global capital markets. Therefore, international diversification is an inevitable choice to comply with this trend. The BRICS stock markets have relatively low internal correlations and can be used as the preferred targets for international diversified investments. However, it also shows that there is a lack of substantive cooperation and exchange in financial development.