Dynamic Research Of Relationship In Different Industry Indexes

After the reforms of split-share structure, the stock market structure movement form has changed enormously. The time of rise and fall together has been over, the phenomenon of board linkage and The inter-leading between boards are outstanding, And in bull and bear market show different characteristics. In the Post-crisis era, there appeared new features in board movement.Combining with stock market style, this paper research board linkage effect and the impact of the leading relationship between plates after The reforms of split-share structure. First of all, board movement was made a systematic description plate phenomenon with the market characteristics. Secondly, we chose shenyin & wanguo Level 1 industry classification index day income data from wind database and got the smooth series with logarithm processing. Then, this paper points cows, bear, concussion marks sectors guide board index inspection. After Granger causality test, we found some industry board between brought sluggish relationships. Finally, the article introduced DCC-MVGARCH model, using Ox Metrics software analysis in different market environment correlation dynamic features. This paper focuses on the dynamic changes of the leading relationship in bull, bear, concussion market.The empirical study found that, there were significant leading relationship in the initial stage of a bull market and financial crisis of bear market and concussion market, but appeared in Comprehensive bull market. These results can give Investors some methods of management and strategies of investment.Then, this paper explores the market information transmission mechanism. According to the interactive leading relationship of Industry indexes of the different characteristics, this paper analyzed the cause of board movement in view of the irrational investors'premise of behavior finance. In the end of the article, a number of investment strategies are provided in line with the interpretation of the microscopic structure of the market changes. For the market efficiency improvement, this paper gives a lot of forward policy suggestions about China's capital market marketization reform.