异质波动条件下中国股市与国际股市联动性的动态分析——基于DCC-MVGARCH模型的实证研究

Analysis of comovement between chinese and international stock market under the condition of heterogeneous fluctuation——based on empirical study of DCC-MVGARCH model

在定义与计算异质波动的前提下,使用DCC-MVGARCH模型,对中国股票市场与国际股票市场之间的联动性进行研究.结果表明,首先,中国市场与周边地区市场的联动性最强、新兴市场次之、欧美发达市场最弱;其次,从动态走势上看,金融危机的爆发使得中国市场与周边市场、印度市场以及欧洲市场的联动性发生显著上升,而美国、俄罗斯与巴西市场与中国的联动性则没有显著变化;最后,这种不规则走势为国际投资提供了避险的可能性.

This paper analyzes the comovement between Chinese and international stock market by using DCC - MVGARCH model on the premise of defining and calculating heterogeneous fluctuation. The result shows that Chinese market has the strongest comovement with surrounding areas, with emerging markets second, the weakest is with developed markets in Europe and America. Then, from the view of dynamic trends, the outbreak of financial crisis makes the comovement between Chinese market and neighboring markets, Indian market as well as European market rise significantly, but there is no significant change between Chinese market and Ameri- can market, Russian market and Brazilian market. Finally, this irregular change provides international invest- ment with the possibility of avoiding risks.