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《Journal of Yulin Normal University》 2016-05
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The Analysis of Relationship between the Soaring and Plummeting Shanghai Composite Index and the Dow Jones Industrial Average

OU Shi-de;LI Yan-ping;WU Chuan;ZHOU Zhen-yan;Shool of Mathematics and Statistics,Yulin Normal University;  
With the opening of international financial market,frequent interaction between different securities markets have occurred.Research on the dependent relations between markets is of great significance.The Shanghai index of boom and bust process from 2014 to 2015 is divided into stages,analyzed and compared with the Dow Jones industrial average.The characteristics of the two markets are revealed.The dependence structure between the two is built by using the copula functions in the phases.According to the tail dependence coefficient,the correlation between the two indices is analyzed.The results show that the two indices have a strong dependence.
【Fund】: 广西自然科学基金项目(2013GXNSFAA019012);; 国家统计局科研项目(2012LY052);; 玉林师范学院高层次人才科研启动基金(G2012010);; 广西区级大学生创新创业项目(201410606035)
【CateGory Index】: F224;F831.51
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