A mixed-rotation Clayton Copula model optimized with the BFGS algorithm is constructed,and the returns of SSE index and Hang Seng index selected to represent the returns of Chinese mainland and Hong Kong stock markets to analyse the tail dependence of Chinese mainland and Hong Kong stock markets.The empirical results show that Chinese mainland and Hong Kong stock market returns have a positive tailed dependence structure,showing an asymmetric pattern with a heavier lower tailed distribution than the upper tailed distribution.It is confirmed in the research process that the hybrid rotated Clayton Copula model optimized by the BFGS algorithm can estimate the parameters in a more accurate manner and fit the tail dependence of the stock market returns of Chinese mainland and Hong Kong more comprehensively than the single Copula model or the hybrid Copula model.It is suggested that regulatory authorities in both markets strengthen their cooperation,improve the risk identification accuracy and timeliness and risk warning mechanism through technical means such as big data analysis and machine learning,and guide investors to develop a rational view at tail risk,aware of the existence of the tail-dependence structure of the market returns and taking tail risks into account in their investment decisions.
NETL
NSTL
万方数据
