Dependence Analysis Of Financial Market Based On Copula

With the development of the economic globalization, the interior dependence of the finance markets becomes increasingly complex. Under the influence of globalization and financial integration, coordinated movement of the price in the financial market in one area will gradually affect other markets. Therefore, researches concerning the correlation structure between finance markets become vital. Great number of researches has been done from the perspective of dependence analysis while most of them are adopt the linearity correlativity which is can not meet requirement of modern financial market. Researches in the correlation structure between finance markets are characterized by asymmetry while Copula function in analyzing the correlation structure between finance markets has its own advantage. It analyzes the correlation structure between finance markets by setting up a model or describes correlation of asymmetry, especially the tail dependence, which attaches great importance to the description of correlation structure.In this dissertation, we study the dependence of between different financial markets, especially analyze the tail dependence. The main work is as follows:Firstly, we introduce the development of Copula theory and its main feature. Then we can know the advantages of Copula theory in the study of the dependence between financial markets, and the practical significance of this paper.Secondly, we improved theχ2-Goodness-of-fit test, and obtainχ2-Goodness-of-fit test based on transformation of random vector. Through simulation testing, we evaluation the test results of the K-S test,χ2-Goodness-of-fit test, andχ2-Goodness-of-fit test based on transformation of random vector. The results show thatχ2-Goodness-of-fit test based on transformation of random vector is more stringent and more realistic of test results. Finally, we proposed the selection method of the optimal Copula.Thirdly, we useχ2-Goodness-of-fit test based on transformation of random vector test several Copula functions, choose the optimal Copula, then study the dependence of stock market of Shanghai and Hong Kong, the dependence of stock market of Shanghai and Shenzhen, and analyze the tail dependence.