沪深A股波动协同持续性研究

Research on the Co-persistence in Volatility Between Shanghai and Shenzhen's A Share Markets

文章从单变量的协整思想出发,根据Bollerslev、Engle(1993)协同持续,采用变量GARCH的方法来研究我国沪深股市A股的波动协同持续性特征,实证研究发现在样本期内,我国沪市A股和深市A股之间确实存在波动协同持续性特征,说明A股市场联系性较强。

Based on the idea of Bollerslev.Engle（1993） ＇s co- persistence, we do an empirical investigation on A shares between China＇ s two major stock markets - Shanghai and Sbenzben, and find out there exists co -persistence in volatility significantly, which shows a strong relationship between these two A shares in China.