S. Shanghai, Exchange markets began to accept the declaration of Margin Trading and Short Selling from March 31, 2010, and the first financial future, CSI 300 Stock Index Future, 2010.

, Copulas can measure the nonlinear dependence structure, and, with the parameters of many stylized Copulas, the tail dependence, which refers to the relationship between random variables resulting from extreme observations in the upper and lower quadrants of the joint distribution function, can be calculated by certain formulas

, The authors appreciate an anonymous referee reminding them of this literature

, For the simple bivariate case in this paper, denote the individual stocks' returns and the market returns by and . Then, formula (2) can be simplified as ( , ) = ( ( ), ( )), where ( , ) is the joint distribution of and , and ( ) and (

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