The Comparative Study On The Correlation Of Stock-Future-Bond Markets Between Chinese And American Base On The Perspective Of Copula

With the development of increasingly complex financial products and financial globalization and integration, the relationships between financial markets are more and more complex. At the same time, the financial markets of China have been developing and growing since the reform and opening up. China now has stock market, futures market, bond market, as well as a variety of other types of financial transactions markets. Copula model has efficient ability in analyzing the correlation structure between different series by setting up a model or describes correlation of asymmetry, abnormal, especially the tail dependence so copula function in analyzing the correlation structure between financial markets have its own advantage, at the same time, we can obtain the special correlation of markets through our study, which has importance guiding value to the market supervisor and the investors. Based on this situation, the paper specifically discusses the correlation of stock-futures-bond markets in Chinese financial market. The paper also discusses the three markets’correlation in the U.S. financial markets in order to compare the specific different correlation of markets in mature market.The paper selected Shanghai Stock Index, Fuel Index and Shanghai Bond Index respectively representing the stock, future and bond markets, and conducted a detailed study of the interrelationship between these three markets of China’s financial markets. In the U.S. market, the paper select the Standard&Poor’s500Index, the U.S. fuel index and the10-year Treasury index as the corresponding stock market, futures market and the bond market representatives. Firstly, the AR (1)-GJR (1,1)-GED model was used to fit the marginal distribution of each index. And GUMBEL and CLAYTON dual copula function were used to analyze the correlation between the indexes, which are sensitive to upper and lower tail. Through the empirical research, the following important conclusion was reached.First, the up tail’s correlation is stronger than the low tail in both China and the U.S. financial markets. The various markets show the same trend of rising in the bull market but independent in the bear market. Second, the empirical results reflect the important differences in the two different markets of China and the United States, on the one hand, the correlation of China’s financial markets is weaker than the U.S. financial markets, which is mainly due to the different degree of marketization, different stages of economic development in China and the United States, so financial products are unable to reflect the market conditions in China. On the other hand, the correlation order in various markets is different. In China’s financial markets, stock and futures markets is the strongest correlation, followed by the futures markets and bond markets, stock and bond markets is the least relevant. In the U.S. market, the strongest correlation is between stock and bond markets, followed by stock and futures markets, futures and bond markets of the least. The result reflects the different levels of development of China’s various markets, and economic institutions are different from U.S. The paper results suggest that Chinese need to strengthen financial marketization level, perfect the financial product structure to narrowing the gap with the mature financial markets gradually; and the investors should scientific investment in different financial markets according to the specific characteristics of the correlation of our country’s financial markets and avoid the investment risk effectively...