採用Engle(2002)提出的多變數動態條件相關模型(DCC-MVGARCH)來研究滬市行業板塊間的動態相關性。結果表明各行業板塊間的動態相關性較高,但具有不斷減弱的趨勢。反應出隨著我國證券市場的不斷調整,各行業間的特徵逐漸顯現出來。各板塊間的相關性的變化趨勢極為相似。
Studying on the dynamic correlation between the industries in shanghai stock market by applying the DCC-MVGARCH model, which was introduced by Engle in 2002. The result shows that the dynamic correlation between the industries is high, but the degree becomes more and more weaker. It reacts as the development of the China's stock market the characteristics of industries manifest gradually. The paper also shows the changes of the correlation between industries are very similar.
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