The Study On The Relativity Between The Stock Market And Government Bond Market In China

As financial markets become more diversified and complex,the correlation between financial markets increases.For investors,the stock market and government bond market as two very important part of financial market,how to configure and adjust the proportion of which is particularly important.Study the correlation of the two also directly affect the relevant economic policy decisions,which can effectively meet the main body of investment for risk management,optimize the allocation of resources,and get a higher income.This article first introduces the stock market and government bond market correlation theory,and then the ARMA-GARCH model,the theory of extreme value and copulas connect systematically,and expounds several common Copula connect function in detail,points out that the different kinds of Copula connect function characteristics.The empirical part selects the Shanghai composite index and the Shanghai Stock Exchange T-Bond Index to represent the stock market and the government bond market.After a series of statistical tests,ARMA-GARCH model is established under normal distribution?t distribution and GED distribution of residual error,and ARMA-GARCH(1,1)-GED is selected according to the AIC.Then the POT model is introduced to optimize the edge distribution.Finally,the correlation structure between two exponents is modeled by normal Copula?Student-t Copula?Gumbel Copula?Clayton Copula and Frank Copula.Through GOF test,the Gumbel Copula function is selected to describe the correlation between the two markets.