以金融危机发生前后上海综合指数和s&p指教为样本分析中美股市的相依结构,通过样本秩相关系数估计Copula函数中的参数,并利用卡方统计量对估计出来的Copula函数进行非参数拟合优度检验.结果表明,上海综合指数与s&p指数存在较弱的对称相依结构,协同运动并不明显,股票市场受美国次贷危机的影响较小；尾部相依性显示二者之间渐近对称性独立,但并不存在明显的传递依赖关系,投资者可以选择资产组合分散化风险投资.%Taken the data of ShangHai comprehensive index and s&p index before and after the financial crisis in 2007 as sample, the dependency of stock markets between China mainland and the unite states is explored and the Unite States and estimated the parameters of five kinds of copula functions through the correlation coefficients of sample and made a nonparametric test of goodness of fit byχ2 statistic. The results indicate it presented weaker symmetry dependent structure of Shanghai comprehensive index and s&p index. The stock market is less influenced by U. S. Subprime crisis. Tail dependency manifested that there existed the asymptotic independent behavior of them and didn' t have obvious transitive dependent relationship. Investors can choose asset procfolio to make investment risk decentralization.
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