Correlation Research Of SZ300Index Stocks Based On Copula Function

With the release of SZ300Index futures in April2004, China capitalmarket has entered so called “hedge era”. The function of SZ300Indexhas become more than merely the benchmark of the market, but also aninvestment product, the volatility of the index will not only reflect thestatus of the market, but also affect lots of future investors’ profit, sowhether SZ300index can be manipulated became a hot topic in thesociety.This article started from the current status of unti-manipulation ofindex, analyzed the definition of manipulation, the normal manipulationways and the normally used way to judge whether an index is easy to bemanipulated or not, that is the weight concentration of single stock orindustry, but that method has some limitation that the article introduced anew method to judge the index manipulation feasibility, that is tailcorrelation of stocks and the index, and Copula function is introduced tocalculate the tail correlations, the article then introduced the definition ofCopula function, the relationship between Copula function and how tobuild the model.This article will introduce the concept of Copula and its application inthe analysis of the tail correlation of the large weight stocks and theindex。The result shows that the high weight stocks has very large tailcorrelation coefficient with the index, but we can not set the conclusionthat the SZ300index is easy to be manipulated, we at least need to doGranger test to find out the cause and effect between the stock and theindex, and more research need to be completed.