摘要
应用动态条件相关系数多元GARCH模型与窗口滚动的EGARCH模型,对中国A股、港股与美股市场间的时变相关关系进行分析.结论表明,自2007年,A股与港股市场间,特别是两市收盘收益率间,高度正相关,认为两市场间关系永久性改变了.而A股市场与美股市场间,仅A股市场的开盘价在经济、金融危机特殊时期受美股市场影响.
The dynamic conditional correlation coefficient, multivariate GARCH model and window rolling EGARCH model are applied to analyze the time-varying correlation between Chinese A shares, HK and US stock markets. The conclusion shows that, since 2007, the relationship between A shares and Hong Kong stock market, especially the closing yield of the two markets, has been highly correlated. The relationship between the two markets has changed permanently. Between the A share market and the US stock market, only the opening price of A share market was affected by the US stock market in the special period of economic and financial crisis.
作者
吴明华
Wu Minghua(School of Economics, Nankai University, Tianjin 300071, China)
出处
《南开大学学报（自然科学版）》
CAS
CSCD
北大核心
2017年第5期56-60,66,共6页
Acta Scientiarum Naturalium Universitatis Nankaiensis
基金
教育部人文社会科学研究青年项目(13YJC790159)
关键词
股票市场
时变
相关性
stock market
time-varying
correlation
