A Study On The Correlation Between The Exchangeable Bond Price And The Underlying Stock Price Based On MRS-Copula

China's financial derivatives market has developed rapidly in recent years.Among them.Exchangeable Bond is a new type of derivative with strong flexibility.In recent years,its development momentum has been rapid and its scale has been expanding.The study of its income characteristics must begin with the correlation between its price and the price of the underlying stock.This paper constructs the Markov Regime-switching Copula model,and uses this model to study the correlation between eight exchangeable corporate bond prices and their underlying stock prices,and compares them with the static Copula model and the Copula model with time-varying parameter.The empirical results show that the Markov Regime-switching Copula model can capture the time-varying,asymmetrical,and tail-related characteristics of the price correlation compared with static Copula and time-varying parameters Copula.At the same time,the upper tail correlation coefficient between the exchangeable corporate bond price and the underlying stock price is significantly greater than the lower tail correlation coefficient,indicating that the two prices are more inclined to simultaneously move higher.