Proceedings of the 2018 2nd International Conference on Management, Education and Social Science (ICMESS 2018)

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The Influence of Shanghai (Shenzhen)-Hongkong Stock Connect Program on the Dynamic Correlation between those Markets -An Empirical Analysis Based on DCC-VaR-MVGARCH Model

Authors
Jiacheng Ma
Corresponding Author
Jiacheng Ma
Available Online June 2018.
DOI
10.2991/icmess-18.2018.187How to use a DOI?
Keywords
Shanghai (Shenzhen)-Hongkong Stock Connect Program; Dynamic correlation coefficient; Leverage effect
Abstract

This paper empirically analyzes the effect of Shanghai (Shenzhen)-Hongkong stock connect program on the dynamic correlation between those three markets based on the DCC-VaR-MVGARCH model. The results obtained show that: The volatility of Shanghai, Shenzhen and Hongkong stock markets has leverage effect. The opening of the Stock Connect Program between Shanghai and Hong Kong has improved the dynamic correlation coefficient between Shanghai and Hong Kong stock markets, reduced the dynamic correlation coefficient between Shenzhen and Hong Kong stock markets, and lowered the dynamic correlation coefficient between Shanghai and Shenzhen stock markets. The opening of Shenzhen-Hongkong Stock Connect Program has improved the dynamic correlation coefficient between Shenzhen and Hong Kong stock markets, decreased the dynamic correlation coefficient between Shanghai and Hong Kong stock markets, and lessened the dynamic correlation coefficient between Shanghai and Shenzhen stock markets. However, due to the leverage effect, the dynamic correlation between Shanghai and Hong Kong stock markets has gained some increments after the opening of Shenzhen-Hongkong Stock Connect Program. The program code of the model is invented by the author.

Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2018 2nd International Conference on Management, Education and Social Science (ICMESS 2018)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
June 2018
ISBN
10.2991/icmess-18.2018.187
ISSN
2352-5398
DOI
10.2991/icmess-18.2018.187How to use a DOI?
Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

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TY  - CONF
AU  - Jiacheng Ma
PY  - 2018/06
DA  - 2018/06
TI  - The Influence of Shanghai (Shenzhen)-Hongkong Stock Connect Program on the Dynamic Correlation between those Markets -An Empirical Analysis Based on DCC-VaR-MVGARCH Model
BT  - Proceedings of the 2018 2nd International Conference on Management, Education and Social Science (ICMESS 2018)
PB  - Atlantis Press
SP  - 849
EP  - 853
SN  - 2352-5398
UR  - https://doi.org/10.2991/icmess-18.2018.187
DO  - 10.2991/icmess-18.2018.187
ID  - Ma2018/06
ER  -