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Research on the Relevance and VaR of GEM Market Based on Vine Copula

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Emerging Trends in Intelligent and Interactive Systems and Applications (IISA 2020)

Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 1304))

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Abstract

This article selects the Standard & Poor’s GEM index (SPHKGEM), GEM Strategic Emerging Industries Index (SZSCSEII), the Growth Enterprise Market 50 Index (SZEXT50), the Growth Enterprise Market Fundamental Market Index (SZSCPMI) as the research objects from January 2, 2018 to December 2, 2019. Establish the C-Vine structure for 2018 and 2019 for the four indexes, and then establish the C-Vine structure for the overall yield, and measure the VaR of the asset portfolio that conforms to the C-Vine structure in 2018 and 2019. The results show that the GEM Strategic Emerging Industries Index is in a key node position among the four GEM indices, and it shows a high correlation with other indexes under the C-Vine structure. The GEM Strategic Emerging Industries Index.The VaR in 2019 combined with the SPHKGEM, the SZEXT50, and the SZSCPMI decreased compared with 2018. This is related to China’s continued implementation of a stable monetary policy, continuous promotion of the opening of the financial industry, the government’s encouragement of technology companies, and the development of high-tech industries.

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Authors and Affiliations

  1. Shandong University of Science and Technology, Qingdao, 266000, Shandong Province, China

    Zhang Xin & Zou Yumei

Authors
  1. Zhang Xin
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  2. Zou Yumei
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Corresponding author

Correspondence to Zhang Xin .

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Editors and Affiliations

  1. The Business Systems and Analytics Department, La Salle University, Philadelphia, PA, USA

    Madjid Tavana

  2. Departamento de Engenharia Eletrônica e Telecomunicações, Faculdade de Engenharia, Universidade do Estado do Rio de Janeiro, Rio de Janeiro, Brazil

    Nadia Nedjah

  3. Department of Computer Science, University of Calgary, Calgary, AB, Canada

    Reda Alhajj

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Xin, Z., Yumei, Z. (2021). Research on the Relevance and VaR of GEM Market Based on Vine Copula. In: Tavana, M., Nedjah, N., Alhajj, R. (eds) Emerging Trends in Intelligent and Interactive Systems and Applications. IISA 2020. Advances in Intelligent Systems and Computing, vol 1304. Springer, Cham. https://doi.org/10.1007/978-3-030-63784-2_9

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