The Dependencies Of Price Changes And Risk Control For Different Financial Market Of China

Dependencies between the financial markets are closely and there is very important the major research topic to accurately describe the high frequency changes in the dependence of financial markets, the financial dependency betweens and are very important theoretical and practical significance for financial market operation mechanism and financial decision. With financial globalization, financial market risk management is increasingly being valued by investors and managers.Dependency on financial markets, the domestic study is mostly limited to analysis dependency of the daily cycle between Shanghai and Shenzhen. Dependency research is less in China’s stock index futures and stock markets.Therefore, dependence of financial markets and risk control were studied in form of high-frequency data from a new perspective. Because most of the financial market rate of return showed peak after the end of the distribution, relationship between variables was not described with traditional normal or t distribution. Copula function, also called connection function, is a new tool of statistics to research dependence relationship between random variables. It can describe non-linear dependence relationship between random variables. Copula functions form different families have different research applications. This Paper introduced the related Properties of Copula function, and parameter estimation test method of Copula function. Research on the theoretical methods and calculation methods of VaR are described in risk control of the financial markets.In this paper, Stock index futures and Shanghai Index of5minutes extreme sequence is taken as research object form October2011to24November18,2011,Interdependent relationship was studied between five minutes maximum and minimum values of the return series of Stock index futures and Shanghai Index.Test their logarithmic rate whether normal, the results showed that they were non-normal. The Paper fitted those returns with Gumbel, Clayton,Frank and Gs Copula, tested Copula by the measure of Q-Q, K-S, and found the conclusion that Gumbel Copula did better in describing the dependence between five minutes maximum and minimum values of the return series of Stock index futures and Shenzhen index, the correlation of two sets of data were researched, Gumbel Performed well in capturing the dependence between tock index futures and Shenzhen index. Finally, through the research of tail dependence stock index futures and Shenzhen index.Based on Gumbel Copula, we demonstrated we got the result that the upper tail dependence between stock index futures and Shenzhen index was much stronger than the lower tail dependence between them.Based on the different methods to the analysis of maximum values of the return series of Stock index futures and obtained the VaR sequence, investors and managers obtains the risk control reference from the quantitative perspective.