A standardized market liquidity measure is construeted by considering "time scale" and "price scale" at the same time, and a new index of market expectation is given by use of time-varying information entropy method. The dynamic correlation structure between market liquidity and market expectation could be analyzed by combining ARMA-GJR-GARCH model with time-varying Copula model. The Chinese stock daily data from January 2009 to September 2014 are utilized for empirical analysis. The results indicate that there exist some significant persistent and negative "leverage effect" for market liquidity and market expectation, the time-varying normal Copula model is optimal through comparative analysis under the LL、AIC and BIC principles, and time-varying relevant analysis shows that in long term, market liquidity and market expectation have kept overall trend of negative relevant, and the time-varying correlation coefficient has frequently switched between positive and negative position,and there exist some big change-points in correlation structure during the Europe-US sovereign debt crisis, while little relevant relationship in normal period. All of these are of great importance for regulators to timely guide market expectation and enhance market liquidity during the crisis, which may reduce the crisis contagion and release the financial risk.
YAO Deng-bao, LIU Xiao-xing, ZHANG Xu
. Dynamic Correlation Structure Between Market Liquidity and Market Expectation:An Analysis Based on ARMA-GJR-GARCH-Copula Model[J]. Chinese Journal of Management Science, 2016
, 24(2)
: 1
-10
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DOI: 10.16381/j.cnki.issn1003-207x.2016.02.001
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