Analysis Of Correlations Among The Growth Enterprise Markets In Aisa

With the High-tech stock foam in 2000 swept across the whole world, headed by U.S.A. NASDAQ index, the indexes of market for the second board on the stock of various countries dropped one after another. This phenomenon has attracted a lot of scholars to modeling and analyzing the violent fluctuation and the linkages of the market in order to effective prevent financial risks. This paper, we choose KOSDAQ Composite Index of Korea, JASDAQ of Japan and GEM Index of Hong Kong in Asia growth enterprise market, NASDAQ Composite Index of U.S.A., on behalf of maturity stock market of developed country, to analyze the correlations among the second board's index in various countries, especially the dynamic correlation among the market for the second board on the country's stock of the Asian- Pacific area. In this paper, we first conducted preliminary analyses of the four stock return series, and then constructed a VEC Model. We next set up DCC-MVGARCH(1,1) models with the residuals of the VEC model in order to show dynamic correlation between the four indexes' return. These models have the flexibility of univariate GARCH but not the complexity of conventional multivariate GARCH, and can be estimated in two steps by parameterization of conditional correlations. Estimating the models with software MATLAB6.0, the result indicates that there are co-integrate relations among these four markets of second board, but not remarkable in statistical. That implies the return series of the three markets of second board in Asia and the ripe market of NASDAQ market in U.S.A. have weakly long-run balanced relation. Especially, the NASDAQ Market has some leading effect to the index tendency of the second board markets in Asia. But the influence is not so strong as imaginations of people. The volatilities in the three Asia markets are mainly influenced by the domestic financial market respectively as well as the changes in other markets. Further, there are strong mutual effects between the second board markets of Japan and Hong Kong.