滬市行業板塊的動態相關性研究－基於DCC-MVGARCH模型的實證分析

Dynamic Correlation between the Industries in Shanghai Stock Market: An Empirical Analysis Based on the DCC-MVGARCH Model

陳銀忠(Yin-Zhong Chen) ； 郭其友(Qi-You Guo) ； 張榮(Rong Zhang)

《管理科學與統計決策》 6卷3期 (2009/09) Pp. 69-77

https://doi.org/10.6704/JMSSD.2009.6.3.69

摘要

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。

關鍵字

DCC-MVGARCH模型 ； 滬市行業 ； 動態相關

並列摘要

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.

並列關鍵字

DCC-MVGARCH Model ； Industries in Shanghai Stock Market ； Dynamic Correlation

參考文獻

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