中文摘要：

随着经济新常态发展,我国经济结构在逐步改变,证券行业的发展对我国资本市场的影响很大.上证综指与深证综指代表我国股票市场的大盘方向.首先利用上证综指与深证综指的对数收益率,研究判断得出其密度分布函数服从t分布,其次构建二元t-Copula函数,利用Copula函数算出Kendall’sτ系数和Spearman’sρ系数,得出上证综指与深证综指的相关性很大,二者间相互影响.最后构建VAR模型,画出脉冲响应函数合成图,得出上证综指对资本市场的影响较大,深证综指对资本市场的影响较小,上证综指的代表性更大,对投资者而言,上证综指更具有借鉴意义.

英文摘要：

Along with the economic development of the new normal,China＇s economic structure is gradually improving,and the development of securities industry puts great impact on the capital market of our country greatly.The Shanghai Composite Index and Shenzhen Composite Index represent the market direction of China＇s stock market.Firstly based on the logarithmic rate of return of Shanghai Composite Index and Shenzhen Composite Index,this study gets the judgment that the density distribution function obey t-distribution.Secondly,it constructs a t-Copula binary function,and calculates Kendall＇s and Spearman＇sρ,accordingly,it is concluded that there does exist the correlation between the Shanghai Composite Index and Shenzhen Composite Index,and the two influence each other.Lastly,the paper constructs the VAR model,draws the impulse response function synthesis figure and draws the conclusion that Shanghai Composite Index exerts greater influence on the capital market than that of Shenzhen Composite Index,which plays more significant role for investors.