Research On The Dynamic Correlation Of The Brics Stock Market-Empirical Test

Since the e subprime mortgage crisis in 2008,the BRICs economy has taken the lead in the recovery,which has further promoted the global economic recovery and become the main driving force of global economic growth.With the gradual development of economic globalization,the economic and trade links among the BRICs countries are increasing frequently,and the scale of trade is expanding,promoting the financial links between BRIC financing and financial institutions around the world and trade settlement currency swap,the BRICs stock market volatility will exhibit up with total fall trend,dynamic correlation between the BRIC countries stock market it is of great significance for exploring the relationship between the state of financial transactions.This paper selects the BRIC countries from January 3,2005 to May 2017 16 daily return rate,using the DCC-GARCH model to study the dynamic correlation between the BRICs stock market.We explore the dynamic correlation between stock market and further analyze the impact of crisis shocks and positive policy events on stock market dynamic correlation by means of event analysis and dynamic correlation coefficient.The DCC-GARCH model and event countries stock market volatility analysis shows:the BRICs stock index overall trend is similar,and the most prominent is the outbreak of the crisis,the stock index showed the same trend with the rise and fall;the BRICs stock index and logarithm yield with wave agglomeration effect.The BRICs stock market's sensitivity to new information is low,and its reaction speed is slow.But the attenuation coefficient of stock market is relatively large,which is easy to be influenced by stock market's past information.Empirical tests confirm that there is a strong positive dynamic correlation between the BRICs and the dynamic correlation coefficient.The dynamic correlation coefficient between South Africa and Russia is the largest,and the dynamic correlation coefficients of other countries are similar.When subjected to a common external impact,BRICs stock market dynamic correlation will show different degrees of enhancement,and the impact of crisis shocks on stock market dynamic correlation is more significant than that of good news.This paper studies the dynamic correlation between the stock market of the BRICS,which is of great practical significance to the formulation of the macroeconomic policies,risk management and regulatory mechanism,and the rational investment of the investors in BRICs.