| 试论中韩股市收益的动态相关性——基于DCC-GARCH模型 |
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| 引用本文： | 朴基石.试论中韩股市收益的动态相关性——基于DCC-GARCH模型[J].延边大学学报,2011(1):26-30. |
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| 作者姓名： | 朴基石 |
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| 作者单位： | 延边大学经济管理学院,吉林延吉133002 |
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| 摘 要： | 基于DCC-GARCH模型对中国股票收益率与韩国股票收益率之间动态相关关系的实证分析结果表明,中韩股票收益率的相关性在2003年后呈持续稳定、快速上升趋势,且这种上升趋势在2007-2009年全球金融危机期间无明显改变。这表明中韩股票收益的相关性已经达到很高的水平。
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| 关 键 词： | 中国 韩国 股票市场 股票收益 动态相关性 DCC-GARCH模型 |
Analysis of Dynamic Correlation of Stock Markets in China and Korea——Based on the modal of DCC-GARCH |
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| PIAO Ji-shi.Analysis of Dynamic Correlation of Stock Markets in China and Korea——Based on the modal of DCC-GARCH[J].Journal of Yanbian University(Social Sciences),2011(1):26-30. |
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| Authors: | PIAO Ji-shi |
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| Institution: | PIAO Ji-shi (College of Economics ＆ Management,Yanbian University,Yanji,Jilin,133002,China) |
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| Abstract: | Based on the modal of DCC-GARCH,the analysis of dynamic correlation between the yield rate of China＇s equity market and that of Korea shows that correlation has been in an upward trend since 2003 and there are no significant changes in the correlation during the era of global financial crisis.All these prove the correlation of yield rate of the equity markets in both countries has reached a higher point. |
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| Keywords: | China Korea stock market stock yield dynamic correlation modal of DCC-GARCH |
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