Copula Shanghai And Hong Kong Stock Market Based On Different Types Of Analysis

In this paper, we use several different types of Copula to study the relationship between logarithmic rate of return of Hong Kong Index the Shanghai A shares Index. In Copula choice, we select Clayton Copula and Gumbel-Hougaard from one-parameter Copula family, and mixed Copula which is composed of Clayton Copula and Gumbel-Hougaard, and BB1 Copula and Log Copula from two-parameter copulas, and the semi-parametric Copula which has many parameters. In parameter estimation, we use the method of semi-parametric estimation to estimate the parameters of one-parameter Copula and mixed Copula and two-parameters Copula; and in the estimation of parameters of semi-parametric Copula, the quadratic programming method which has penalty function and the constraints is used. We use K-S test and PP figure to test goodness-of-fit of the models. The results of empirical research show that BB1 Copula which is two-parameter Copula has the good Goodness-of-fit tests and practical value among the copulas which we selected. Through the analysis of relationship between the Hong Kong stock market and the Shanghai stock market, we found that the two stock markets have larger upper tail dependence than lower tail dependence.