摘要
香港和海外上市的中国概念股引起国内外投资者和相关机构广泛关注,中国概念股的走势与国内外股市是否存在联动效应值得研究探讨。运用DCC(1,1)-MVGARCH模型对香港和美国的中国概念股指数与上证综数和深证综指以及概念股所在市场的大盘收益率的时变动态相关系数进行考察发现,香港和美国市场的中国概念股与上证综指、深证综指收益序列动态时变相关性总体较弱,但2007年以来有逐渐增强的趋势,尤其是香港市场;总体而言,中国概念股与上海市场的联动程度显著高于与深圳市场的联动程度,中国概念股指数与所在市场大盘之间的动态相关性较强而且基本稳定,大大超过与中国国内大盘之间的相关性,所在市场对中国概念股的波动起主导作用;在股市暴涨暴跌的情况下,美国证券市场的中国概念股指数与A股市场的相关性突然增大。
In this article, at first we introduced the boom of “China Concept” shares. Then we applied DCC（ 1,1 ）-MVGARCH model to study the dynamic conditional correlations between mainly China concept stock indices and the indices of China. It was found that： The Dynamic conditional correlation of “China Concept” shares and A-share market was weak, and it has been gradually increasing in 2007, especially Hong Kong market. As a whole, the volatility relevance between Shanghai stock market and overseas stocks was stronger than Shenzhen stock market. The dynamic conditional correlation between those “China concept” shares and local Large-cap was much stronger than it between homeland Large-cap, therefore the overseas market was the main effective factor of the fluctuation of those oversea-listed Chinese shares. The relevancy of the Chinese stocks listed in USA and a share market has suddenly increased during the sharply jump and slump.
出处
《管理科学》
CSSCI
2008年第4期105-114,共10页
Journal of Management Science
基金
国家社会科学基金(05BJY010)
