The Dynamic Correlation Between China And ASEAN Stock Returns

With the deepening of globalization,the relationship between countries' economies is increasing,especially the financial system of countries is becoming more and more closely,and the correlation between stock returns in international financial market is gradually enhanced.In 2008,the global economic crisis triggered by the US subprime mortgage crisis had a huge impact on the economies of the world.Today,the impact of the crisis is still there.At the same time,China is in the deepening of the financial system reform,the gradual opening of financial markets will promote economic development will also bring more risks and increase economic instability.It is beneficial to study the dynamic correlation between the stock market income between China and other economies,which is conducive to circumventing international financial risks and broadening the investment channels of Chinese enterprises.In this paper,ASEAN countries(Myanmar,Cambodia,Thailand,Malaysia,Singapore,Indonesia,Vietnam,Laos,Philippines and Brunei)are selected as research objects to study their dynamic correlation with China's stock market returns.ASEAN countries are geographically China is in the same region,geographically closely linked;from the level of economic development and stage of view,most of the ASEAN countries and China are the same as developing countries,which for the study of China and the ASEAN stock market returns there is a dynamic correlation between the possible TheASEAN's stock exchanges in many countries were relatively early,but until the late 1980 s,ASEAN's stock market capitalization was very limited and the size of the stock market remained relatively small.With the rapid development of the region's economy,especially after the 2008 financial crisis,in the developed countries,the overall slowdown in economic growth,investment channels and IV income tends to be fixed,the ASEAN economy as a whole,high growth and increasingly sophisticated financial markets Regulation,which makes foreign investors interested in investment in the region,while the economic growth in turn led to the rapid growth of ASEAN stock markets.This paper explores the degree of correlation between the Chinese stock market and the ASEAN countries' stock market by studying the dynamic correlation between the stock market returns of China and ASEAN countries,which reflects the degree of economic correlation between China and ASEAN countries from the stock market.In addition,through the study of stock returns to explore in China and the ASEAN stock market to obtain greater returns,the effective dispersion of risk investment strategy.In this paper,the empirical method is to first self-correlation,stationary and conditional heteroskedasticity test.Then,according to the two-step estimation method of DCC-GARCH model,the GARCH(1,1)model is used to estimate the parameters.In the second step,the GARCH(1,1)model is used to estimate the standard residual value of the results.The empirical results show that China's stock market returns are positively correlated with Malaysia,Singapore and Indonesia in the sample range,and the absolute value of the dynamic correlation coefficient is relatively large,but the volatility is also large,which shows that China and Malaysia,Singapore And the Indonesian stock market has a greater impact on each other,and the yield changes in the same direction.China and Vietnam,Thailand and the Philippines,the correlation between the stock rate of return change is small,roughly a positive correlation,the correlation coefficient of 0.1 or so,for the weaker positive correlation.The correlation between China's stock market returns and the stock market returns in Singapore and Thailand is significantly higher than in Vietnam,and the positive correlation between the yield on the stock market in Indonesia and the Philippines is gradually disappearing.The financial crisis Afterwards,the impact of our national stock market is clearly more serious than expected.In addition,Indonesia,the Philippines,the stock market is highly open,the capital can flow freely and quickly recover from the impact of the financial crisis.There is a positive correlation between the ASEAN stock market and the Chinese stock market,and there are diversified differences in the relevance of different countries at different times.This diversity-related difference is sufficient to provide diversified investment options to countries and temperamental Chinese investors,enabling investors to reduce investment risk and diversify their investment portfolios by diversifying their portfolios.