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中文摘要：
为了研究亚洲新兴股市之间的联动效应,运用ARFIMA-FIAPARCH模型刻画亚洲新兴股市收益率的边缘分布特征,进而结合由Clayton Copula、Gumbel Copula与Frank Copula构成的混合Copula函数对亚洲主要新兴股市之间的联动结构进行建模。研究结果表明：中国股市中的长记忆特征非常显著,对历史信息的反应尤为缓慢;中国股市仅与韩国股市、新加坡股市的联系较为紧密,存在风险相互传染的可能;而韩国股市、新加坡股市和印度股市等亚洲其他主要新兴股市之间的联动程度更高,股市之间存在较为明显的风险传染效应。
英文摘要：
To analyze the comovements effect of Asian emerging stock markets,this paper employs ARFIMA-FIAPARCH model to depict yields rate marginal distribution of Asian emerging stock markets,and applies the Mixed-Copula function made of Clayton,Frank and Gumbel to establish a model of comovements structure.The results show that Chinese stock market has striking long memory effect and slow response to historical information;Chinese stock market only links to Korean stock market and Singapore stock market with significance risk contagions,however,comovements among other major Asian emerging stock markets is strong.
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