Analysis Of Linkage Effects Among Industry Sectors In China's Stock Market

With the rapid growth of C hina's economic strength,the contact with the stock markets of other countries in the world is getting closer.Nowada ys,the research of many scholars is mainly focused on the relationship between a country's stock market and the global stocks,but there is relatively little research on a country's stock market through industry classification.However,studying the linkage between markets in a country's various industries has important implications for the development,management,and operation of the stock market.Compared with foreign stock markets,C hina's stock market fluctuates greatly.The global economic crisis that erupted in 2008 did not continue to affect the C hinese stock market.Instead,in 2009,the development of China's stock market was exceptionally prosperous.Many market participants wanted to understand the reasons that China's stock market is booming.I n 2015,the number of products produced in many industries in C hina was increasing,and the amount of investment in fixed assets was relatively large.By 2016,the operating conditions in many industries in C hina were in decline.In order to analyze the ca uses of these phenomena,we considered whether there is an interaction between different industries.Therefore,it is very necessary to analyze the correlation between the stock market of our country.Because the analysis of the industry can not only provide investors with detailed background information and understanding of relevant policies,but also let them to understand the development of various industries to better determine the investment priorities.Therefore,this article takes the stock market industry index of agriculture,forestry,power,manufacturing,real estate,transportation,finance as the research object,andselects the data of the daily closing prices of various market sectors from May 2,2013 to July 3,2017 for analysis,then build The DCC-GARCH model to obtain the dynamic correlation coefficient of each stock market industry index,and analyze the correlation between various industries based on this.This paper constructs the DCC-GARCH model as the foundation,first,the yield of each stock market sector indices were basic statistical analysis as well as its stability test,etc.And we obtain that the industry index return data is stable and has ARCH effect through analyzing.So next,we can build a GARCH model for analyzing.Then we establish the GARCH model,the ARMA model is used to construct the mean equation for other industry indexes in addition to financial industry index.After analyzing and summarizing,obtain the estimation result of parameters in GARCH(1,1),and obtain the volatility of yields is continuous be aware of ? + ? < 1.After the establishment of DCC-GARCH model to obtain the dynamic correlation coefficient between the various stock market industry index.Then we obtain the parameter estimation results of DCC,by the results known that ? is very small,it expresses that the effect of the standardized residual on the dynamic correlation coefficient is small,and ? is very closed to 1,that the correlation coefficient is affected by the early fluctuations.Combining with the basic statistics of the dynamic correlation coefficient,the stock index of each stock market has a strong correlation.In order to see the dynamic correlation between various stock market industry indexes more intuitively,this paper draws a correlation coefficient of dynamic conditions of FIG index between the respective sectors.We can obtain that there is a positive correlation and strong linkage between industry indices from the drawing.And when the risk increases,the linkage will also increase.