Abstract
The year 2008 witnessed the greatest joint stock reform and financial crisis in Chinese history. After these two cases, significant changes have taken place in investors’ behaviors worldwide, along with which is the occurrence of structure change in stock market. In this paper, we employ copula model to simulate the joint distribution between Shanghai Stock Index (SSE) and Chinese Shanghai Index 300 (CSI 300), to find out structure change in Chinese stock market before and after 2008. From results of empirical studies, we get conclusions that the main nature of Chinese stocks market is symmetric, in both marginal and joint distributions. Via the changes of Copula types, upper and lower tail coefficients and Kendall coefficients, we can measure the structure change in Chinese stock market, and get further conclusion about investors’ behaviors change. Before 2008, there is an equal power in quitting market and longing, while diversified investors adjusted their expectation uniformly after this year. Testing results show that the general dependence structure of CSI 300 and SSE is highly dependent and symmetric in most cases. From the distribution of upper and lower tail coefficients, we can draw the conclusion that stratified investors are mainly focused on two tasks, after this year, to close the position on stocks with high correlated stocks market and to maintain market value of stocks.
Highlights
The year 2008 has imposed remarkable influence on stock market worldwide, because of two significant cases, the joint stock reform and financial crisis
We employ Copula model to simulate the joint distribution between Shanghai Stock Index (SSE) and Chinese Shanghai Index 300 (CSI 300), to find out structure change in Chinese stock market before and after 2008
Results of univariate Gaussian mixture distribution will be candidates of marginal distribution, while that of Bivariate Gaussian mixture is used to simulate the joint distribution in our empirical study
Summary
The year 2008 has imposed remarkable influence on stock market worldwide, because of two significant cases, the joint stock reform and financial crisis. Another comprehensive index, SSE, declined severely, from 4695.80 to 1664.93 Such remarkable change in Chinese stock market undoubtedly generated investors’ distinct behaviors before and after 2008. Based on overwhelming empirical evidence and discussions, various alternative models with non-normality are proposed, one of which is the Copula model proposed by Sklar in 1959 [3] It is an exact and overall statistical method to describe the dependent structure between random variables by linking the marginal distribution of each [4,5]. We will develop the Copular model to describe the structure changes before and after 2008 due to the influences of joint stock reform and financial crisis. Based on results of empirical study, we get further conclusion about changes of investors’ behaviors
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
