基于Copula函数的我国沪市股票交易量与价格相依性分析
he Correlation between the Stock Price and Volume Based on the Copula Model
股价与成交量是股票市场上非常重要的两个变量，其两者之间关系一直以来也是研究的热点问题。本文选取沪市股票日收盘价与成交量为研究对象，运用Copula函数，度量量价之间的相依度与相依结构，结果显示，交易量与股价有着正的相依关系，且具有非常明显的上尾高下尾低的非对称相依结构特征。同时，检验发现，Gumbel Copula能更好的反映交易量与股价之间的结构特征。
he correlation between stock price and trading volume is quite complex. In this paper, the data of Shanghai stock closing price and trading volume is used to measure the correlation and the correlated structure. The research shows that, trading volume and stock price have a positive dependence, and a asymmetric tail dependence. Simultaneously, Gumbel Copula can reflect the correlation between trading volume and stock price better.
郑嘉露、王艳丽
财政、金融
金融opula函数交易量股价尾部相关性
FinanceCopulatrading volumestock pricetail dependence
郑嘉露,王艳丽.基于Copula函数的我国沪市股票交易量与价格相依性分析[EB/OL].(2011-08-23)[2025-08-06].http://www.paper.edu.cn/releasepaper/content/201108-382.点此复制
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