Dynamic Correlation between Domestic and Offshore Chinese Stocks
The dynamic correlation between two market returns is important for testing the market reflection speed, comparing the market efficiency, evaluating the market risk and allocating the assets in a global financial market. This paper employs Granger causality test, DCC-MVGARCH model and VAR-DCC-MVGARCH model to empirically test the correlation between domestic and overseas Chinese stocks. The results show that overseas Chinese stock market is related with domestic stock market in both return and volatility. There is return spillover from offshore Chinese stock market to domestic Chinese stock market. Moreover, there is significant dynamic conditional correlation between the volatility of two markets. Finally, the dynamic correlation also sheds some lights on the diversification effects by introducing overseas Chinese stock markets into portfolio selection. This reflects the advantage of global asset allocation.
Dynamic conditional correlation portfolio selection VAR-DCC-MVGARCH
Hai Lin Liang Guan
Associate Prof., Department of Finance and Wang Yanan Institute for Studies in Economics (WISE),Xiam MA. Student, Department of Accounting and Finance, London School of Economics and Political Science,
国际会议
2007 Conference on Systems Science, Management Science and System Dynamics(第二届系统科学、管理科学与系统动力学国际会议)
上海
英文
1303-1310
2007-10-19（万方平台首次上网日期，不代表论文的发表时间）