【摘要】 研究房地产股票与股市大盘之间的相关关系,对于构建投资组合以及分析股票基本面都有着重要作用.笔者通过运用Copula函数建立了房地产股票与股市大盘的相关模型.在参数估计方面,利用非参数核密度法估计房地产股票与股市大盘的边缘分布,同时结合极大似然法进行Copula的参数估计.Copuls选择方面,通过平方欧式距离法进行Copula函数的拟合优度检验.实证结果表明:Gumbel Copula能够更好地刻画两市场间的非线性、非对称特征,两地市场上尾相关性大于下尾相关.就整体而言,两市场在牛市期间的相关性明显高于熊市期间的相关性.更多还原

【Abstract】 It is important for the relationship between real estate stocks and general stocks in the field of portfolio construction and stock fundamental analysis.By introducing Copula function,the paper established a model of real estate stocks and general stocks.For the parameter estimation of Copula,the paper estimated the marginal distribution of real estate stocks and general stocks by using non- parameter kernel density estimation and combined maximum likelihood parameter.In terms of Copula selection,goodness of Copula is fitted by euclidean distance squared method.The results show that Gumbel Copula has more advantages in depicting the nonlinear and asymmetric characteristics between the two markets.Moreover,the tail correction is greater than the lower tail correction for both markets.In summary,the collection between the two markets during the bull market is higher than the collection during the bear market significantly.更多还原