Research on Dynamic Correlation Between A&B Stock Index of Shanghai and Shenzhen Exchange Based on DCC-MGARCH Model

Jin-fang Tian () and Wen-jing Wang
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Jin-fang Tian: Shandong University of Finance and Economics
Wen-jing Wang: Shandong University of Finance and Economics

Chapter Chapter 108 in The 19th International Conference on Industrial Engineering and Engineering Management, 2013, pp 1029-1038 from Springer

Abstract: Abstract The paper dynamically investigates the correlation of A and B-share in Shanghai and Shenzhen Stock Exchange using their daily trading data based on the Dynamic Conditional Correlation Multivariate Generalized Autoregressive Conditional Hetero skedasticity (DCC-MGARCH) model. We show that the A and B-share market have reflected a certain degree of consistency characteristics since 2001. However, since China’s stock market isn’t mature, the dynamic correlation between A and B-share stock index in both Shanghai and Shenzhen is still volatile and their segmentation feature is still evident.

Keywords: DCC-MGARCH; A&B stock index; Dynamic correlation (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-38433-2_108

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DOI: 10.1007/978-3-642-38433-2_108

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