中文摘要：

以ASV—EVT模型为边缘分布函数，运用三种Copula簇方法研究了QFII和HS300指数之间的相关关系．研究结果表明：BBlCopula较好地刻画了两指数尾部相关的非线性、非对称特征，且较好地拟合了相关结构，表明两指数在低迷时期的相关性明显高于其活跃时期的相关性．同时回测检验显示Copula—ASV—EVT模型能有效测度两指数组合的市场风险．进而，基于2006—2012年样本实证得出QFII一直坚持价值投资的有力证据．同时，随着QFII数量的增长和上市公司分红制度的完善，中国证券市场面临价值投资理性回归的极好机遇．

英文摘要：

This paper is concerned with the statistical modeling of the dependence structure of QFII and HS300 index using the theory of Copulas. We select some Copulas and identify the type of dependency to capture nonlinear asymmetric and tail dependence. The EVT （extreme value theory, EVT） model needs to estimate the threshold values in order to exactly fit the margin distribution of Copula functions. Our analysis is based on a semi-parametric extreme value model. EV Copulas, Archimax Copulas and Archimedean Copulas simulate the correlation between QFII index and HS300 index. The empirical analysis indicates that the BB1 Copula has a higher correlation in the lower tail than the upper tail for a variety of parameters used in the Copula function. These findings illustrate that two different return series are more likely to correlate with each other during market downturns than upturns. Moreover, the backtesting results show that Copula-ASV-EVT （asymmetry stochastic volatility, ASV） model is suitable for measurement of tail risk of QFII and HS300 portfolio. In addition, we find the striking evidence of QFII value investment in Chinese A-share stock market for the period 2006-2012. Meanwhile QFII institutional investors gradually increase and the improvement of listed companies＇ profit sharing system so that there is an opportunity for the rational return of value investment in Chinese stock markets.