基于R_Vine Copula方法的上证行业指数相关性研究

以中国上海证券交易所的金融地产、原材料、工业、可选消费、主要消费、公用事业、能源、电信业务、医药卫生和信息技术十大行业指数为研究对象,运用能够同时考察多市场相关关系的Vine Copula方法,对这十大行业指数间的净相关关系进行实证分析。主要结果表明: 中国上证行业指数之间具有显著的非对称和厚尾相关特征;非条件下两个行业指数之间以及条件下一些3个或者4个行业指数之间有较强的相关性;而5个或5个以上行业指数之间的条件相关性表现出相互独立,因而在熊市时选择5个及以上不同行业同时投资,能够达到有效分散风险的目的;与D_Vine Copula及C_Vine Copula模型相比,R_Vine Copula模型更适合于刻画中国行业指数之间的相关关系。

The Study of Correlation among Different Industry Indexes in Shanghai Stock Exchange based on the R_Vine Copula Method

It is of great significance for portfolio decision-making and investment risk reduction to study the correlation among the different industries of listed companies in Shanghai Stock Exchange. Vine Copula method, which is capable of viewing the correlation among multi-markets, was used to measuring the net relationship between the different industries, with the daily return of all ten indexes of Financial & Real Estate, Raw Materials, Industry, Optional Consumption, Main Consumption, Public Utilities, Energy, Telecommunication, Medicine & Health Care and Information Technology as sample. The main empirical results show that: there is significant asymmetric and fat tail correlation characteristic between the different industry indexes; there is a strong correlation between every two industry indexes under non-conditions and among some three or four industry indexes while taking all the industry indexes into account; As is shown, the conditional correlation among five or more than five indexes is mutually independent, so investment in five or more than five industries could meet the goal of avoiding the risk. R_Vine Copula model is more suitable for measuring the net correlation of industry indexes in the Shanghai Stock Exchange compared with the D_Vine and C_Vine Copula model.