Abstract

There has been a certain typical feature of stock markets due to language and human geography, as well as the extensive cooperation in the mainland, Taiwan and Hong Kong in recently years. The paper uses dynamic conditional correlation HYGARCH model to investigate the stock markets of the Greater China, and finds that the model can effectively capture the characteristics of volatility clustering, asymmetry and long memory of the stock markets of the Greater China. The results of time-varying dynamic correlation have showed that the integration is gradually improved, since the dynamic correlation coefficient showing an overall upward trend, as well as the cooperation of the three places and the gradual opening policy of the stock markets of the Greater China.

Key words

Long Memory; Asymmetry; Dynamic Conditional Correlation; Integration

        DOI: https://doi.org/10.13502/j.cnki.issn1000-7636.2015.08.006