基于MGARCH模型的不同股票市场波动相关性研究

Research on Time-varying Correlations between Different Stock Market Based on MGARCH Model

文章采用BEKK模型研究了不同股票市场指数的相关性,特别以上证指数与恒生指数的波动时变进行了实证研究。结果发现两市场股票指数在所研究时段内的波动相关性仅呈很弱的正相关。中国内地股市仍然是一个相对封闭的市场,其市场的波动具有相对的独立性。

Thevarying correlations between ShangZheng Index and Hangseng Index are studied in this paper by using a BEKK model. The results show that these two stock market both have significant time-varying properties, their correlation is positive, relative weak, and the volatility eft mainland stock market has its relative independence.