Analysis Of Dynamic Correlation Between Chinese Stock Market And Global Stock Market

The economic globalization has brought the global stock market interaction effect more and more obvious,especially the Chinese market's position in the global market continues to improve,the correlation between the Chinese stock market and the global stock market is also changing.Globalization brings the globalization of capital,which is reflected in the stock market as a change in the correlation between the stock market and the international stock market.Therefore,it is also important to analyze the dynamic correlation between the stock indexes of each country.Technical analysis and fundamental analysis are the methods we often use to analyze stocks.Technology analysis focuses on trend analysis and long period analysis.The technology analysis method has certain reference value in the weak effective market,but so far,technical analysis can not find its correct scientific method.Especially,stock price has self driving effect.More and more empirical findings show that prediction effect of observable variables on financial asset prices is poor.By establishing the DCC-GARCH model,we can get the dynamic correlation coefficient,and we can also predict the stock index or stock price as a factor.In this article,the total number of countries and regions(including two regions in Hongkong and Taiwan of China)in the top 20 trade quotas in China(including two regions in Hongkong and Taiwan,China),have a total of 21 stock indexes.The time is from January 2001 to March 2018,the main reason for this period is to choose this period.On the one hand,we have joined WTO in 2001,which marks China's entry into the ranks of the market economy and is an important part of the world economy.On the other hand,China's capital market is gradually open,and the impact of external environment on other countries or regions will also affect the A share market.Dynamic correlation is always changing.How to track this dynamic change and take corresponding measures is very important for the stock market.The traditional method finds out that the covariance between stock indices is static,and can not well reflect the time variant and dynamic correlation between stock indexes.The main method of this paper is based on the generalized autoregressive conditional heteroscedasticity model(DCC-GARCH),which is based on the DCC-GARCH model proposed in the book "financial risk management" of Peter F christosson,which is the most important stock index in the world.We choose the top 20 of our country's import and export trade line.The dynamic correlation modeling of the representative stock index of the famous country or region and the Shanghai and Shenzhen 300 index is carried out,and the dynamic correlation coefficient is solved according to the DCC-GARCH model in the financial risk management of Peter F Christensen's financial risk management.The dynamic correlations between different countries and regions and Shanghai and Shenzhen 300 stock indices were compared horizontally.