Research On The Comovement Of The Main International Stock Markets Based On The Vine Copula-HAR-RV Model

Under the background of economic integration and financial globalization,the comovement of stock markets of all countries?regions) in the world has become more pronounced,showing a certain degree of"simultaneous rise and fall".With the rapid development of China's economy and the increasing openness of the capital market,the Chinese stock market is gradually being integrated into the world financial market system,and it occupies an increasingly important position in the world's financial markets.While enjoying the benefits of an open economy,China is also facing a severe risk contagion challenge.At the same time,under the dual effects of technological advancements and financial innovation,financial crises occur frequently,the movement process and dependent structure of financial asset prices have become increasingly complex,and traditional measurement models have become increasingly difficult to effectively describe.Participants'research market puts forward higher requirements.Therefore,using the vine Copula-HAR-RV model to study the comovement of the main international stock markets provides quantitative basis and reference value for the financial regulatory authorities to safeguard the formulation of national financial system security and regulatory policies.It also has practical significance for investors to conduct a series of financial practices such as risk management and asset allocation.In view of the existing research deficiencies,the HAR-RV model is used to incorporate the high-frequency information and the realized volatility of different frequencies into the marginal distribution modeling process.Based on the vine Copula characterize the dependent structure among the five main international stock markets,constructed a vine Copula-HAR-RV model that describes the comovement of stock markets.The main work and conclusion are as follows:(1)The paper introduces the research results of domestic and foreign stock market comovement and related theoretical foundations.(2)In this paper,the HAR-RV model is selected as the marginal distribution needed for modeling the vine Copula dependent structure.The high-frequency information is included,and the realized volatility measures of different transaction frequencies are introduced.The information content is more abundant.The empirical results show that the t-distribution-transformed sequence is suitable for vine Copula modeling.(3)The Copula dependent structure modeling of C-vine,D-vine and R-vine was conducted for the comovement of the international stock markets.Then,the paper compares the effects of three vine Copula-HAR-RV models on the comovement of the main international stock mark.ets from the perspectives of goodness of fit and portfolio risk measurement,and choose the best performing model to study the static and dynamic comovement of the main international stock markets,and verify the hedge effect of the diversified portfolio in the model,and finally put forward relevant recommendations.The empirical results show that the R-vine Copula-HAR-RV model performs best in both the goodness of fit and portfolio risk measurement.The dependent structure among main international stock markets presents regional agglomeration characteristics,and Hongkong stock market occupies a central position,and the time varying characteristics of main international stock markets comovement are not obvious.Adding conditional market to the vine structure can significantly reduce the comovement in stock markets,and the diversified portfolio has a good hedge effect under the R-vine Copula-HAR-RV dependent structure,which can provide a good way for investors to avoid losses.