Based On Copula Function Shanghai Stock Market Rate Of Return Correlation

In the financial markets, there is always among the various subsystems inextricably linked, a change in the market tend to affect changes in another market, the stock market even more so. Shanghai stock index to explore dependencies between, discussed how the determination to choose the most suitable for Shanghai stock index Copulas function method, using parametric and nonparametric estimation methods, combined with graphical analysis and goodness of fit test to choose the best out of three steps Copulas functions. Through empirical analysis, the most suitable description of Shanghai stock index returns Copula dependence structure function-Clayton family, Frank family and 13 family Archimedean Copula functions, this method of selecting the optimal Copulas function of innovation for this article.The conclusions have been known by the Clayton family, Frank family and 13 family Archimedean Copula function can be used to describe the Shanghai Stock Exchange's main index of the dependence structure, in which 13 ethnic communities is more suitable than the other two major stock index in Shanghai Stock Market dependency structure. Shanghai Stock Exchange in order to better describe the dependency structure of yields, according to a certain weight, the Clayton family, Frank family and 13 family Archimedean Copula function to be a linear combination, so you can get a new mixed-Archimedean Copula function to describe Shanghai market rate of return dependent structure. Through empirical analysis, the dependency structure of the selected index.Finally, the selected index of the investment portfolio analysis, the best of each index portfolio. So easy for people in practice asset management.