| 中国证券市场A、B、H股的动态相关关系研究 |
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| 引用本文： | 曾五一,罗薇薇. 中国证券市场A、B、H股的动态相关关系研究[J]. 商业经济与管理, 2009, 213(7) |
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| 作者姓名： | 曾五一 罗薇薇 |
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| 作者单位： | 厦门大学,经济学院,福建,厦门,361005 |
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| 摘 要： | 文章将沪市(深市)A股、沪市(深市)B股和H股纳入一个研究框架,采用1995-2008年样本数据,运用GJR-GARCH-ADCC模型对三个市场的收益率条件相关性进行了实证分析.结果表明,A股和B股,B股和H股相关性受非对称信息影响,而A股与H股间不受非对称影响.本文还检测了三个主要的市场开放政策对市场间相关关系影响,发现B股市场开放后,A、B市场相关关系有明显的结构变动,联动性增强;QDII政策的实施加深了深市A股和H股,深市B股和H股的联系;但QFII政策对各市相关性影响不明显.整体说明国内证券市场,特别是A股和B股,A股和H股,融合度加深,联动性增强.
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| 关 键 词： | 动态相关 非对称DCC模型 |
Dynamic Conditional Correlation among the A-share, the B-share and the H-share Markets in China |
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| ZENG Wu-yi,LUO Wei-wei. Dynamic Conditional Correlation among the A-share, the B-share and the H-share Markets in China[J]. Business Economics and Administration, 2009, 213(7) |
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| Authors: | ZENG Wu-yi LUO Wei-wei |
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| Abstract: | This paper investigates the dynamic conditional correlation among the A-share, the B-share and the H-share markets in China. By applying the GJR-GARCH-DCC with asymmetric term model , we analyze three return indices during the period of 1995-2008. We find that the correlation between the A-share and the B-share markets, as well as the one between the B-share and the H-share markets are dynamic and asymmetric. However, the correlation between the A-share and the H-share markets is dynamic but not asymmetric. The results are important to portfolio diversification and for financial market participants. We also find that the A- and B-share markets as well as the A- and H-share markets are increasingly integrated. |
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| Keywords: | GJR-GARCH dynamic correlation GJR-GARCH DCC with asymmetric term model |
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