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

In: The 19th International Conference on Industrial Engineering and Engineering Management

Author

Listed:
  • Jin-fang Tian

    (Shandong University of Finance and Economics)

  • Wen-jing Wang

    (Shandong University of Finance and Economics)

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.

Suggested Citation

  • Jin-fang Tian & Wen-jing Wang, 2013. "Research on Dynamic Correlation Between A&B Stock Index of Shanghai and Shenzhen Exchange Based on DCC-MGARCH Model," Springer Books, in: Ershi Qi & Jiang Shen & Runliang Dou (ed.), The 19th International Conference on Industrial Engineering and Engineering Management, edition 127, chapter 0, pages 1029-1038, Springer.
    • Handle: RePEc:spr:sprchp:978-3-642-38433-2_108
    DOI: 10.1007/978-3-642-38433-2_108
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