Research On The Correlation Between Shanghai And Shenzhen Stock Market And "The Belt And Road" Concept Stock Based On Copula Method

With the rapid development of China's economy,China's economy is becoming more and more closely related to the world economy.Under this background,China proposes "The Belt and Road" initiative and actively promotes the actual construction of the initiative.The reason behind this is not only for China to further expand and deepen its opening to the outside world,but also for strengthening cooperation with countries along the line and other countries in the world."The Belt and Road" theme index launched by China Securities Index Co is a good investment project under the background of "The Belt and Road" construction.This paper aims to explore the correlation between "The Belt and Road" index and the Shanghai and Shenzhen stock markets,so as to provide reasonable advice for investors and regulators and avoid risks.To achieve this goal,the paper selects the closing price of Shanghai Composite Index,Shenzhen Component Index and "The Belt and Road" thematic index from June 16,2015 to February 23,2019 as samples,and calculates corresponding yield series for empirical analysis.In this process,the DCC-MGARCH model and Copula method are adopted.After the correlation coefficient estimates are obtained by the above methods,the risk measure VaR is calculated according to the return series model.The final empirical results show that the correlation between the "The Belt and Road" index and the Shanghai and Shenzhen stock markets has experienced a sharp decline followed by a rapid rise,and the correlation coefficient finally stabilized at a higher level.In addition,the Shanghai Composite Index and the "The Belt and Road" index tend to rise or fall at the same time,while the Shenzhen Component Index and the "The Belt and Road" index tend to fall at the same time.The reason is that "The Belt and Road" index is not only affected by the economic fundamentals,but also affected by relevant policies,and the impact of the policy on the index is greater than that of the Shanghai and Shenzhen stock markets.Empirical analysis shows that the risk measurement VaR based on sequential model has better prediction effect than historical simulation method.It is more suitable for the three indices in this paper,and provides a model basis for measuring the risk of index combination.Based on the ARMA-GARCH model of return series,this paper forecasts the price of stock index.The forecast results are deviated from the actual value,but within a reasonable range.