Analysis of comovement between chinese and international stock market under the condition of heterogeneous fluctuation---based on empirical study of DCC -MVGARCH model
SU Ming-zheng
ZHANG Qing-jun
Abstract：This paper analyzes the comovement between Chinese and international stock market by using DCC-MVGARCH model on the premise of defining and calculating heterogeneous fluctuation .The result shows that Chinese market has the strongest comovement with surrounding areas , with emerging markets second , the weakest is with developed markets in Europe and America .Then, from the view of dynamic trends , the outbreak of financial crisis makes the comovement between Chinese market and neighboring markets , Indian market as well as European market rise significantly , but there is no significant change between Chinese market and Ameri-can market, Russian market and Brazilian market .Finally, this irregular change provides international invest-ment with the possibility of avoiding risks .
Keywords：Heterogeneous FluctuationComovementChinese Stock MarketInternational Stock MarketDCC-MVGARCH Model
Publication Date：2013-01-01
Online Publishing Date：2025-08-15(First online date of this platform, not the publication date of the document)
Pages：7( 328-334 )