Abstract: With the integration of the culture and finance, the art market has become another important investment area in addition to the stock and real estate markets, and the risk fluctuations in the capital market have an impact on the art market. The complexity of the two systems in terms of relevance, synergy and volatility is increasing, which expands the transmission effect of risks between different systems. We can investigate the correlation between the systems, from the internal structures and the impact, thus revealing the evolution of the two markets and the forming-mechanism of risk. This paper analyzes the development trend and presents situation of Chinese art and stock markets. In conclusion, the two markets are closely related to the macro economy; there are competitive effects and wealth spillover effects between the two markets; the interactions of the two effects affect the degree of correlation between the two markets. Based on this, it can be concluded that there is an obvious dependence between China's stock and art markets. Subsequently, we combine Copula and GARCH-t to construct four models in static or dynamic form thereby studying the correlation between Chinese art and stock markets. The empirical results show that during 2000-2018 the correlations between Shanghai Composite Index and Art Market Trading Index are generally low, but increase when the market fluctuates greatly, indicating that there is some tail dependence. Time-varying Copula models are more accurate in describing the correlation between the two economic systems than static copula. Indices of the two market mainly have a weak positive correlation. In the end, we put forward some suggestions on the art investment.

Key words: economic system, art finance, stock market, dependence, Copula