基于copula-var的指数基金市场风险与流动性风险集成度量

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1、硕士学位论文AbstractWimtheimprovementoffinancialmarket，thecategoryoffinancialproductsisincreasing．ExchangeTradeFund(ETF)asakindofopen—endon—sitefundswithlowcost，goodliquidity,hightransparency，andflexibletradingmechanism，hascausedmoreandmoreattentionsbyacademiaandindustry．ThestudyofETFi

2、ntegratedriskcanpromotethedevelopmentandperfectionforETFsystem，andalsosupportsforETFinvestmentmanagementdecision．ThispapertooktheChinesesecuritiesmarketETFastheresearchobject，measuredtheintegratedriskofmarketriskandtheliquidityrisk，andValuedtRisk(VaR)．madeintegratedriskmeasuremen

3、thavemorerealisticsignificance．Basedonliquiditypremiumtheoryandrelatedtheories，thispaperdefinedtheconnotationsofETFmarketriskandtheliquidityrisk，andalsoconfirmedtheriskfactormethod．ThispaperusednineETFopen-endfunds，whichpublicissuedinShanghaiStockExchangeandShenzhenStockExchangeu

4、ntil30mJune2010，asresearchsamples．ThroughtheautocorrelationtestofETFmarketriskandtheliquidityriskoftimeseries，thetestofARCHLMandKolmogorov—Smimov(K-S)，thispaperbuiltupthemodelofriskmarginaldistributionsbyusingGARCH(I，1)andGARCH(1，11一tmodel．Thispaperseparatelydescribedthecorrelati

5、vityofETFmarketriskandliquidityofriskbyusingGumbelCopula，ClaytonCopulaandFrankCopulafunctions．Finally,thepapermeasuredtheVaRofETFintegrationriskthroughthemethodofcombiningthemontecarlosimulationandcopulafunction．Theresultsshowed：thetradingvolume，turnoverandtheturnoverrateofShangh

6、aiCEETF,ShanghaiDividendETFandShanghaiLCETFinShanghaiStockExchangearehigher；theirETFtradingarerelativelyactivetradingwithstrongercashabilityandlessliquidityrisk，SOtheVaRarenegative．Thetradingvolume．turnoverandtheturnoverrateofCGETFandShenzhenComponentETFarelower,theirliquidityand

7、cashablilityarenotstrong，haverelativelyhighrisk，thereforetheVaRofintegratedriskishigher,whichmeanstherelativelyhighpossibilityofpotentialassetsloss．neimportantreasonofdifferentVaRistheETFrepresentingdifferentIndexInvestingthemes．KeyWords：ExchangeTradeFund(ETF)；Copulafunction；Valu

8、eatRisk(VaR)；IntegratedriskIII基于Copula—V