Studying the Correlation of Stocks via Copula Function


Studying the Correlation of Stocks via Copula Function


Yishuai Tian1, Boying Lv1, Botao Liu1

1College of Hydraulic & Environmental Engineering, China Three Gorges University, Yichang 443002, China.


Journal of Theoretical and applied Economics LOGO

Many factors affect the value of stocks, but there are few studies on the correlation between stocks and stock indexes. Therefore, this paper selects the closing prices of 4 industries related to Everbright Bank (601818) and 15 sectors related to the market index from 2017 to 2018, carries on the correlation analysis based on the Copula function, and compares the correlation coefficient by calculation. The stocks closely related to Everbright Bank are mainly bank stocks such as Bank of China and Ningbo Bank, while those greatly affected by the Shanghai Composite Index are Yunnan germanium industry, Tongji Technology, Futian Automobile and other technology and manufacturing stocks. Based on the Copula function to explore the correlation between stocks and the influencing factors, to provide a specific research basis for stock correlation analysis.


Keywords: Copula function; Correlation analysis; Stock market index

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How to cite this article:
Yishuai Tian, Boying Lv, Botao Liu. Studying the Correlation of Stocks via Copula Function. Journal of Theoretical and Applied Economics, 2020; 4:5. DOI: 10.28933/jtae-2020-01-2005


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