论文部分内容阅读
股市中的价格变化与成交量的相关性是投资人士及其学术界人士所研究的热点问题。文中选取了上证指数作为研究对象,对其成交量与收益率之间的相关性进行了分析。基于Copula函数模型,并通过AIC信息准则拟合优度检验发现:Gumbel Copula函数模型能更好地刻画成交量与收益率之间的相关关系。结果表明:收益率与成交量之间的相关关系复杂,呈上尾高非对称相关。
The correlation between the price changes in the stock market and the volume of transactions is a hot issue that investors and their academics have studied. This paper selects the Shanghai Composite Index as the research object, and analyzes the correlation between the volume and the return rate. Based on the Copula function model and through the goodness-of-fit test of the AIC information criterion, it is found that the Gumbel Copula function model can better characterize the correlation between volume and return. The results show that the correlation between yield and turnover is complicated, and the correlation is asymmetric.