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Dynamic Conditional Correlation among the A-share, the B-share and the H-share Markets in China |
ZENG Wu-yi LUO Wei-wei |
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Abstract 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.
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Received: 21 April 2009
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Corresponding Authors:
ZENG Wu-yi
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