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运用独立成分分析(ICA)挖掘出我国宏观经济独立驱动因子,同时运用时变Copula来估计独立因子与上证综合指数收益率相关性来得到宏观经济和股票市场波动关系。实证结果表明:时变Copula函数在描述宏观经济和股票市场波动相关性方面有较好的表现。除了物价水平因素和上证综合指数收益率的下尾动态相关性不明显外,其他各独立成分和上证综合指数收益率波动关系明显且趋势基本相似,这表明了我国宏观经济的各独立成分与股票市场波动关系在相同的时间段内表现相似,不同时段内表现不同的特点,突出了宏观经济和股票市场的波动关系依赖于当时的市场环境。
Using independent component analysis (ICA) to dig out the independent drivers of macroeconomy in China and using the time-varying Copula to estimate the correlation between the independent factors and the SSE yield to get the macroeconomic and stock market volatility. The empirical results show that the time-varying Copula function has a good performance in describing the correlation between the macroeconomy and the stock market volatility. Except for the fact that the correlation between the price level and the bottom tail of the SSE yield is not obvious, the volatility of the returns of the other independent components and the SSE Composite Index is obvious and the trend is basically similar, which shows that each independent component of the macroeconomy and stock Market volatility in the same period of time similar performance, performance in different periods of different characteristics, highlighting the macroeconomic and stock market fluctuations depends on the prevailing market environment.