A Study on Systematic Risks of U.S. and China Stock Markets Based on Markov Copula

Abstract

In this paper, Markov SJC copula model is constructed based on the daily data of standard & Poor's index and Shanghai Shenzhen 300 index, and the systematic risk of American and Chinese stock market is empirically analyzed. The results show that SJC copula can well depict the systematic risk of American and Chinese stock market, the risk dependence has obvious tail asymmetry characteristics, and the probability of low risk dependence is higher than that of high risk dependence.