Research On Dependence Structure And Portfolio Of Stock Index Futures Based On Vine-Copula

With the deepening of world financial integration,the linkage between financial markets in the world is becoming stronger.Studying the dependency between financial markets is very important for volatility spillovers,risk transmission and asset allocation among markets.The stock index futures market is an important part of the financial market.With the development of the stock index futures market,it has received more attention from the state and investors.The BRICS and the G7,as representatives of emerging markets and developed markets,have an important impact on the world economy.Based on theoretical introduction and empirical research,this paper studies the dependency structure and portfolio management between the BRIC and G7 stock index futures markets.In the theoretical introduction,we introduce individual distribution,Vine-Copula and portfolio theory.In the empirical research part of this paper,it is divided into the description of the dependency structure between the 12-count stock index futures market and the risk prediction and portfolio optimization of the high-dimensional stock index futures portfolio.An empirical study of the dependency structure of the 12-count stock index futures market found that the dependency between emerging markets is generally small,mainly in the Vine structure in the latter conditional dependency tree.The dependency between developed markets and between them and emerging markets is more dependency,mainly in the first tree of the Vine structure.The Vine-Copula model embodies the differences in dependency structures between different markets,with asymmetric dependency and thick tail dependency between more markets.Empirical research on high-dimensional futures portfolio shows that VaR predicted by R-Vine has passed the backtest test and has good robustness.The spectral risk value of the portfolio is smaller than the spectral risk of the individual asset,indicating that the portfolio investment can spread the risk.In addition,in portfolio optimization,the effect of long-short combination and non-full position is better than the other two cases.The short-selling mechanism of futures and limited position adjustment can achieve the established benefits under lower risk,and R-Vine is also available in dynamic portfolio management.Vine-Copula can effectively characterize dependency structures between high-dimensional markets and further use in portfolio management.This paper provides a decision-making reference for market managers to formulate policies to prevent financial risks and maintain financial stability.It also provides a reference for international diversified asset allocation.