The Structural Difference of Shanghai Stock Index before and after 2008: A Copula Based Analysis

摘要

The year 2008 witnessed the greatest joint stock reform and financial crisis in Chinese history. After these two cases, significant changes have taken place in investors’ behaviors worldwide, along with which is the occurrence of structure change in stock market. In this paper, we employ copula model to simulate the joint distribution between Shanghai Stock Index (SSE) and Chinese Shanghai Index 300 (CSI 300), to find out structure change in Chinese stock market before and after 2008. From results of empirical studies, we get conclusions that the main nature of Chinese stocks market is symmetric, in both marginal and joint distributions. Via the changes of Copula types, upper and lower tail coefficients and Kendall coefficients, we can measure the structure change in Chinese stock market, and get further conclusion about investors’ behaviors change. Before 2008, there is an equal power in quitting market and longing, while diversified investors adjusted their expectation uniformly after this year. Testing results show that the general dependence structure of CSI 300 and SSE is highly dependent and symmetric in most cases. From the distribution of upper and lower tail coefficients, we can draw the conclusion that stratified investors are mainly focused on two tasks, after this year, to close the position on stocks with high correlated stocks market and to maintain market value of stocks.