Csi 300 Index And The World's Major Stock Index, The Linkage Analysis

With the development of the world's financial system,among the world's economies interaction become increasingly deeper,the interaction between the stock markets,financial markets,is becoming increasingly clear that stock price of lag time of one market will be affected by another market's good news or bad news.First of all,for the specific circumstances of China's CSI 300 Index,the widely used method in the world -"Cointegration Theory," and the Granger causality test, based on the VAR,are used to analyze the impact of the main reasons of the CSI 300 index.Secondly,these indexes have been done a study of volatility,based on the GARCH model family.The results show that the CSI 300 index and the world's major stock indexes have different degrees of non-symmetry,Consistent with the realities.The impact of good news is less than that of the bad news.From the CSI 300 index curve on the impact of information can also see that the bad news relatively steep,and relatively gentle of good news.Other indices were also to meet the EGARCH model and TGARCH, non-symmetric coefficient shows significant different of bad news and good news,bad news often bring greater impact.In the end,Copula function is used to research of the world's dependency structure of CSI 300 index and other stock indexes.Using the Gaussian Copula,t-Copula with Gaussian marginal distribution,the marginal distribution of t-student,experience marginal,the empirical researches are made.the empirical results show that Gaussian Copula structure with the Gaussian marginal distribution are more concentrated in the central,however the tail of marginal distribution are more dispersed,the distribution of t-distribution and time-varying variance adjusted distribution is closer to the experience distribution,thus more suitable for fitting to the research portfolio. Although the correlation coefficient between the indexes is the same,the Copula connection structures between them are different.