基于Copula函数的国际原油价格与股票市场收益的相关性研究

朱慧明; 董丹; 郭鹏

基于Copula函数的国际原油价格与股票市场收益的相关性研究

引用本文：朱慧明，董丹，郭鹏.基于Copula函数的国际原油价格与股票市场收益的相关性研究[J].财经理论与实践,2016,(2):32-37

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作者	单位
朱慧明，董丹，郭鹏	（湖南大学工商管理学院，湖南长沙410082）

中文摘要:针对国际原油价格与金砖五国股票市场收益之间的相关性问题，使用AR(p)-GARCH(1,1)-Copula模型进行检验。运用广义误差分布(GED)获取收益残差序列，对WTI原油价格和金砖五国股市收益之间的相关性进行实证分析。研究结果表明，国际原油价格与中国股市收益呈现微弱的相关关系，而与其他四国股市收益的相关关系较为明显。用时变SJC Copula模型刻画国际原油价格与金砖五国股票市场收益的相关性最为合适。

中文关键词:股票市场收益原油价格 Copula函数相关性

Modeling Dependence Between International Crude Oil Prices and Stock Market Returns Based On Copula Function

Abstract:For the problem of correlation relationship between international crude oil prices and BRICS stock markets returns, the paper puts forward an AR(p)-GARCH (1,1)-Copula model. It applies a generalized error distribution (GED) to obtain residual error series and conducts an empirical analysis on the relationship between WTI crude oil prices and BRICS stock markets returns. The empirical results show that the correlation between international crude oil prices and Chinese stock market returns is weak, while there is an obvious relationship with other four stock markets returns. It is appropriate to portray the dependence relationship between international crude oil prices and BRICS stock markets returns with the time-varying SJC Copula model.

keywords:stock markets returns crude oil prices Copula function dependence

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