Research On The Volatility Correlations Between China And Asia-pacific Stock Markets Based On GARCH Model

This paper has established the GARCH-M and EGARCH model to analyze the risk premium and leverage effect of individual stocks in China and the Asia-Pacific region.Establishing VECH and DCC model to analyze the fluctuation relativity and dynamic linkage between China's stock market and Asia-Pacific' region stock market.The results show that the greater the risk of China and the Asia-Pacific region,the greater the return of a single stock market.The same size of the bad news can bring greater impact than good news.The mutual influence between China and Asia-Pacific stock market is lasting and the financial fluctuation is convergent.The mainland share reform completed to enhance China and the Asia-Pacific stock market correlation.Thus,the research on volatility correlations between China and Asia-Pacific region has depict volatility connotation of stock market in China and Asia-Pacific region from many aspects,and has expanded the research content of stock market volatility and volatility in Asia-Pacific region.Systematic analysis of China and Asia-Pacific stock market volatility and linkage can not only guide investors to build diversified portfolio,control investment risk and deal with stock market volatility,but also improve the financial system and policy formulation reference for financial regulatory departments.A positive risk premium exists for the modeling of risk premiums in China and the Asia-Pacific region.If the Shanghai stock market increases a unit risk,it will bring0.651 unit returns,which is the highest risk premium coefficient.Hong Kong stock market,Taiwan stock market,Australian stock market,Malaysian stock market,Japanese stock market and Korean stock market increased 0.64,0.608,0.421,0.364,0.133,0.124 unit,respectively.High returns were always accompanied high risks.Relative to other stock markets,investment in Shanghai and Hong Kong stock market yields are higher,investors invest in China's stock market returns are lucrative.The EGARCH model is established to analyze the leverage effect of stock market in China and the Asia-Pacific region,and there is a significant leverage effect.The impact of the good news unit to the Shanghai stock market can bring 0.291 unit impact,which is the biggest impact.The impact of the bad news to the Korean stock market can bring 0.547 unit impact,which is the biggest impact.Based on the results of the EGARCH model run,the information shock curves for the seven stock indices are plotted.China and Asia-Pacific stock markets reacted more strongly to bad news.The multivariate Diagonal VECH-GARCH Model is established to analyze the fluctuation relationship between China and Asia-Pacific Stock Markets.It can be seen that there is a long-term mutual influence between the volatility of the conditional variance of each stock market.In the context of Asia-Pacific regional economic integration,China's stock market and the Asia-Pacific region's stock market hasbecome increasingly close,the stock market volatility is convergence.The multivariate DCC-GARCH model is established to analyze the dynamic linkage between stock markets in China and the Asia Pacific region.The results show that the linkage between the Shanghai stock market and the Hong Kong stock market has been significantly enhanced after the share reform in Mainland China,and then has been maintained at a high level.The completion of the share reform on the development of China's stock market is of great significance.In the second half of2015,China's stock market and the Asia-Pacific stock market volatility correlation is on the rise,which is related to China's active promotion of economic and trade exchanges with the Asia-Pacific countries (regions).The first half of 2016,affected by the impact of the stock market in Shanghai,the correlation between the Shanghai stock market and other stock markets has declined.