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	中国证券市场A、B、H股的动态相关关系研究; Dynamic Conditional Correlation among the A-share, the B-share and the H-share Markets in China
	曾五一 ; 罗薇薇
	2009-07
关键词	动态相关 GJR-GARCH 非对称DCC模型 dynamic correlation DCC with asymmetric term model
英文摘要	文章将沪市(深市)A股、沪市(深市)B股和H股纳入一个研究框架,采用1995-2008年样本数据,运用GJR-GARCH-ADCC模型对三个市场的收益率条件相关性进行了实证分析。结果表明,A股和B股,B股和H股相关性受非对称信息影响,而A股与H股间不受非对称影响。本文还检测了三个主要的市场开放政策对市场间相关关系影响,发现B股市场开放后,A、B市场相关关系有明显的结构变动,联动性增强;QDII政策的实施加深了深市A股和H股,深市B股和H股的联系;但QFII政策对各市相关性影响不明显。整体说明国内证券市场,特别是A股和B股,A股和H股,融合度加深,联动性增强。This paper investigates the dynamic conditional correlation among the A-share, the B-share and the H-share markets in China. By applying the GJR-GARCH-DCC with asymmetric term model , we analyze three return indices during the period of 1995-2008. We find that the correlation between the A-share and the B-share markets, as well as the one between the B-share and the H-share markets are dynamic and asymmetric. However, the correlation between the A-share and the H-share markets is dynamic but not asymmetric. The results are important to portfolio diversification and for financial market participants. We also find that the A- and B-share markets as well as the A- and H-share markets are increasingly integrated.
语种	中文
出版者	商业经济与管理编辑部
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/8635]
专题	经济学院－已发表论文
推荐引用方式 GB/T 7714	曾五一,罗薇薇. 中国证券市场A、B、H股的动态相关关系研究, Dynamic Conditional Correlation among the A-share, the B-share and the H-share Markets in China[J],2009.
APA	曾五一,&罗薇薇.(2009).中国证券市场A、B、H股的动态相关关系研究..
MLA	曾五一,et al."中国证券市场A、B、H股的动态相关关系研究".(2009).

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