The Empirical Research On Subprime Mortgage Crisis’s Impact On Dependence Of A-share, H-share And N-share Markets

This paper uses bivariate copula model to analyze Dependence relationship between A-share, H-share and N-share Markets from June 1,2005 to August 31, 2009.In this paper, first, the parameters of marginal distribution model for yield of A, H and N stock index are estimated by maximum likelihood method. Then, using AIC test,BIC test, KS test and Q-Q picture, we can chose a the most appropriate model.After the most appropriate marginal distribution model selected, the parameters of the Candidate copulas are calculated by maximum likelihood method. Then, using Chi-square test, we can chose a the most appropriate copula model. The Kendall’s rank correlation and the tail related coefficient can be acquired with parameter of the most appropriate copula. According to empirical analysis, we find:1)、Before and after the Subprime Mortgage Crisis, A+H、A+N and H+N stock markets represents positive relationship, and the correlation of H and N stork markets has been strong, but the correlation of A and N stock markets has been weak.2)、After the Subprime Mortgage Crisis happened, the correlation coefficients of A, H and N stork markets were changed. The correlations of A+H and A+N stock markets have been enhanced, but the one of H+N stock markets has been decreased.3)、After the Subprime Mortgage Crisis happened, the tail related coefficient of A, H and N stork markets were also changed. The coefficient of A+H and H+N stock markets decreased, the upper-tail related coefficient of A+N became larger, but the lower-tail related coefficient became 0.4)、Before and after the Subprime Mortgage Crisis, the correlation structure of A+H and H+N stock markets have been symmetrical. But, after the Subprime Lending Crisis, the correlation structure of A+N stock markets were dissymmetrical.