중국 주식시장의 동태적 조건부 상관관계 연구 -DCC-MGARCH모형을 이용한 실증분석-

초록

In this paper, we estimate the dynamic conditional correlation(DCC) coefficients for the stock markets of China versus U.S., Korea, and Hong Kong, following the DCC-MGARCH model of Engle(2002). We further identify the sources of cross-border co-movements of stock prices and volatility. The main empirical implications are as follows: First, the DCC estimate between the Shanghai and Shenzhen exchanges is shown to be the highest. Second, volatility and returns are positively correlated in the mainland Chinese stock markets, unlike the findings of Longin and Solnik(1995) and Cheng(1998). Third, the U.S. appears to significantly affect China in terms of stock price movements, however, with a relatively small magnitude per MA(1)-GARCH(1,1)-M model.

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