Dissertation > Excellent graduate degree dissertation topics show

Shanghai and Shenzhen stock markets empirical research

Author: YaoDingQiu
Tutor: ChenMingXin
School: Huaqiao University
Course: Finance
Keywords: Granger causality test Copula-GARCH model Tail dependence
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 20
Quote: 0
Read: Download Dissertation

Abstract


There are many correlation analyses in the finaneial market,and most of them are using linear correlation coefficient.However,the related structures are not always linear.They might be non-normal and asymmetrical.Copula fuction has its unique superiority in financial market correlation analysis.It can be directly used for establishing models,describing non-normal and asymmetrically distribution information in the tail part,which is very significant for practically describing the related structure.This paper is under the background of the financial crisis,using the bivarit Copula-GARCH model, by slecting Shanghai stock composite price index and Shenzhen Sub-component index to do empirical study from January 1, 2003 to December 31, 2010, the boundary is January 1, 2007,so the sample period is divided into two phases. Explore the correlation between the two big stock market in China. The first ,I deseribe the basic statistic characters of the data, and I use the ADF test analysis sequence and steadiness,then I use Granger causality test analysis return causality between the two big stock market, finally according to the theory of Copula to construct Copula-GARCH model to analysis, the paper used respectively Gumbel Copula and Clayton Copula to specific measures the tail dependence between Shanghai and Shenzhen stock market .The empirical results show that there are excess kurtosis and "thick tail" features in Chinese Stock Market, and there are the stationary time series. Through the Granger causality test shows that there indeed exist causal direction relations. In order to specific measure the correlation between Shanghai and Shenzhen stock market, there are strong correlation between the Shanghai stock and Shenzhen stock by using the Copula-GARCH model, and showing that there have stronger in the upper and lower tail dependence, but more strong in the lower tail dependence,and there have asymmetry.There does not change significantly and overall smooth operation. The correlation between two indexes in the bear market is stronger than during the bull market. Investors is unlikely to use portfolio to reduce investment risk between the Shanghai stock and Shenzhen stock.

Related Dissertations

  1. Empirical analysis on China 's stock index futures price discovery function,F224
  2. Empirical Research on the Relations between Foreign Direct Investment and Economic Growth in Liaoning Province,F127;F224
  3. Shaanxi Technological Progress Level Evaluation Index System Construction and Analysis,F127;F224
  4. The Study on the Relationship between the RMB/USD Exchange Rate and China’s Stock Market,F832.52;F832.51
  5. Empirical Rresearch on Price Fluctuations of Warrants in Current Market of China,F832.5
  6. The Stock Market Bubble and Monetary Policy,F832.51;F822.0
  7. Research on Fragility Modeling and Demonstration of China’s Commercial Bank System,F832.3
  8. The Empirical Analysis between Rural Financial Development and Urban-rural Income Gap in Zhejiang Province,F124.7;F224.0
  9. Empirical Research on FDI and Economic Development of Liaoning,F127
  10. The Emprical Research on the Contribution from FDI to Green Economic Growth of Liaoning Province,F832.6;F127
  11. Empirical Study on Relationship of Joint Development between Shaanxi Automotive and Logistics Industry,F259.27;F224
  12. The Analysis of the Impact of Foreign Direct Investment in Hebei Province on the Ecological Environment,X196
  13. A Study on FDI Effect of Jiangxi Economic Development and Application Solution,F127;F224
  14. Research on the Relationship between Financial Development and Economic Growth in Northwest Underdeveloped Areas,F832.7;F224
  15. An Analysis of the Interrelationship between the Development of Financial Intermediation and Economic Growth,F830;F061.2
  16. Empirical Analysis on the Validity of Hedge of the Shipping Price Market in Dry Bulk Shipping,F550
  17. Estimation Technique of Copula Based Garch Models and Its Application to Bangladesh Stock Market,F224
  18. Internal Correlation and Effects between Financial Development and Economic Growth: An Econometric Analysis,F224;F061.2
  19. Analysis on Regional Disparity of Financial Assets in China,F224
  20. An Analysis of the Correlation between Stock Index Futures and Their Spots,F224

CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
© 2012 www.DissertationTopic.Net  Mobile